You're going to have to give a little more detail.
I'm doing a cd menu for a CD, I have a button that links to a zip file but when i action it nothing happens
For example, what specifically do you mean when you say "link" and "action"? Perhaps you could provide a sample of the actionscript you used. Also, explaining what kind of menu you are creating may help to clarify what you are trying to do.
Thanks,
TotalMonkey