Hey turtlepd, welcome to the board
Looking at their bottom navigation I'm thinking that what they've done is created the text links as movieclips, then basically animated the line moving, and if the mouse rollovers a word it plays the corresponding arrow animation (e.g. gotoAndPlay(5)).
I could be wrong, but at a quick glance I'd say that is it.
I'm sorry if the explination goes over you head, I wasn't too sure of your knowledge of flash so I didnt want to be too patronising.