I need to look at one of your buttons. Please attach an .fla or host it for download.
The code I provided forces each button to stay on once it's been clicked one time. I wasn't sure how you wanted to show that a page has already been visited.

Correct me if I'm wrong but you want a movie as follows:
contains four buttons.
Each button will only load a corresponding movie the first time it is clicked.
Please fill in these blanks.
Once the button has been clicked for the first time it should _________.
After the first time, the rollover should __________.
After the first click, clicking again should ____________.