2 frame movieClip, first frame contains a movieClip of a stickman standing still, 2nd frame contains a movieClip of a stickman walking.
in an ';onEnterFrame'; script you'd have ';if (whatever key) is down, tell the movieClip to gotoAndStop(2), and ELSE, tell it to gotoAndStop(1)
If that didn't make sense, either I explained it badly, or need more actionScript practice. Try Flashkit.com or something.
No idea why you're doing that.. but experimenting is good. Once you've figured out basic stuff like movieClips, onEnterFrame, etc, you should be able to answer your own questions.