It's like a smaller movie within your movie. You can make one by going to insert > symbol > movieclip, and you can edit it by pressing f11 to bring up the library. When you double click it, you can animate frames inside it, place sounds, write code, whatever. You then click the blue arrow to go back to the main timeline. You can drag the movieclip from the library onto the stage, and it will appear and animate when you press ctrl+enter.
The advantage to this is you can do things like motion tweening, where the object you tween will animate as well as move as part of the tween.
