If you want a real OS window, you'll need to look into using a Flash Wrapper application -- something that add functionality to Flash projectors. Search for "flash wrapper" and start looking it different ones.
On the other hand, you can use Movie clips and Loaders to simulate windows inside of a Flash movie. Just make a movie clip that looks like a window, and have that appear on top of everything else. When the user is done with it (OK or Cancel buttons?) then remove it from the stage. You could also add a close button if you like, and even the ability to move the window around around by dragging it from the top. These kinds of things can be quite simple, or very complex, depending on what you want.