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So far you've only been working on one file, the HelloWorld.as file. This is your ActionScript program, and it's known as an AS file. It's the file that you do all your work in, but it's not your finished product.
Your finished product will be an SWF file. This is a file with a .swf extension. It's the file that will run in the Flash Player in a web browser and it's the file that you can upload to the Internet or share with others. The act of creating a SWF file is known as compiling it. (It's also known as building it, which is where Flash Builder gets its name from.)
There are two ways you can compile an SWF file in Flash Builder.