Tuvron, don't forget when you have your swf in another swf that other swf is now "_root"!
Ranjaman, I'm not sure I understand what you mean by "that's not really OO" but you can always put the shield on the stage of the ship movie clip, and control it that way, using "this." "This" is the movie script to which the .as is attached, and movie scripts can always contain other movie scripts.
Ranjaman, I think you missed the part of step 12 where it explains to you how to do that. Why it's in a window and not part of the main text, I'm not sure.
My general advice to everyone that's made it this far is to stick with it. Game development is hard. You will never escape the feeling of not knowing quite why something isn't working the way it should. In ten years you may be working on completely different (and hopefully far more complex) problems, but the confusion never goes away. So don't get discouraged, keep trying!
I don't mean to be harsh, but it's going to take some determination and patience. These "Shootorials" are about as easy as it gets. But it's one of those things where it's easy if you know how. If you get stuck, post, post, post and keep posting until you understand what you did wrong. You won't make the same mistakes more than a few times before you get the hang of it.
I have CS4 and it works for me. Absolutely double-check that everything you type in step three matches everything you type in step 4. If you call your ship "Ship" and then name the class "ship" it won't work. (Notice capital s vs. lower case s.)
I notice that the farther along you go the fewer people are in the room and the fewer comments. In terms of game development, this great Shootorial is very easy and very basic. If you don't have the determination to get through these 8 tutorials right now, get used to saying, "Ya want fries with that?"