There's an easy way to make fog if you have Photoshop:
1) Open PS and create a new document that matches the size of your Flash properties.
2) Press the "D" key to set your color selection to black with a secondary color of white.
3) Go to Filter > Render > Clouds
You'll now have a wispy-looking background. But what if you want to animate the fog using a tween? If you do, read the next steps. If not, skip to the next section.
4) Go to Filter > Other > Offset. Set the horizontal and vertical sliders so that the number is HALF of the Photoshop document size. For example, if your document size is 600 x 400, set the horizontal slider to 300 and the vertical to 200.
5) You'll now see that your image has been wrapped around, leaving the appearance of 4 different sections. You don't want that there; smooth it out by using the Clone Stamp (S) and the Healing Brush (J) with a soft brush.
Now what you need to do is make the black space transparent so that you will be able to see through the fog.
6) Press Ctrl + I to invert all of the colors (so black becomes white and vice versa).
7) Press Ctrl + A to select everything that is on the layer. Go to Edit > Define Brush from Selection. Name your brush to "Fog" or something similar.
8) Delete everything on your layer.
9) Select the Brush tool (press B) and right-click to bring up the brush selection panel. You should see your new Fog brush in the panel. Select it, then line it up with the edges of your document. Click, and then you'll now have a nice translucent fog! Play around with the Opacity slider if you want the fog to be less thick.
10) Save as a .png with the Transparent setting on.
11) Import the .png file into Flash, AND YOU'RE DONE!
Example of what it could look like in your Flash movie BELOW!