if you download and install flash 9 alpha, everything you need is included
same with flex builder and flashdevelop

if you want to go the command-line route, there may be a few swc files to include, but I think I've seen some tutorials written about that in adobe live docs

overall it should be very simple to get your as3 code compiled


here's an online as3 compiler.. pretty cool:
http://try.flex.org/index.cfm