See, thats what the hell I thought, seen many many guides on this same thing, saying the same thing.

Basically I created a square, have in different SWI's grouped it as a movie clip, & converted to movie clip, and added this code

on (keyPress("<Up>")) {
face._Y -= 20}
on (keyPress("<Down>")) {
face._Y += 20}
on (keyPress("<Left>")) {
face._X -= 20}
on (keyPress("<Right>")) {
face._X += 20}

And absolutely nothing