Give the Checkbox Component an instance name of for example, my_box, and then copy and paste this code on the OK button:

Actionscript Code:
on(release){
    not_again = SharedObject.getLocal("not_show_again");
    if(my_box.selected == true){
        not_again.data.show_msg = false;
    } else {
        not_again.data.show_msg = true;
    }
}

Then, get out of the movieclip with the 2 frames, and click on that movieclip once, open Actions panel (F9), and paste this in there:

Actionscript Code:
onClipEvent(load){
    not_again = SharedObject.getLocal("not_show_again");
    if(not_again.data.show_msg == false || not_again.data.show_msg == undefined){
        gotoAndStop(1); // or frame where checkbox is displayed
    } else {
        gotoAndStop(2); // or frame where checkbox is removed/deleted
    }
}