Bringing a "window" to the front ala psyop

Okay, here's my site: http://www.ryanbarlin.com . What i'm trying to do is set it up like http://www.psyop.tv .On psyop, if you click the play button, it brings a video player window to the front. I'm not worried about being able to move it like you can with theirs, i just want a similar thing on a certain position of the screen that has a close button so you can go back to browsing the site.

I have no idea how i would do that. Can anyone point me in the right direction?
In case it makes any difference, the thumbnail area is a load movie.

its called swapDepths

movie1.swapDepths(movie2);

Where do i put the code? I'm not incredibly good with actionscript.

Do i switch the order to "close" the movie loading on top? ie movie2.swapDepths(movie1);

I can't give a full lesson, but put the code after the attachMovie function (if you're using it) switch my names with the instance names of your movie clips.