It's really pretty easy, if you break that one down into sections it's not so bad. First there is the design, this one makes it look more complicated than it actually is. Then there are the album titles and song listings, which activates it the Flash Sound class. Just look into Flash's sound class in flash help, and you will see what is happening in each step of this after you select a song.
Basically you .loadSound()
While loading use the .getBytesLoaded() and .getTotalBytes() to display this info
Then .onLoad() you can .start() playing
While it's playing use the .duration and .position to move the bar across
When the song is finished the .onSoundComplete event handler will be available.
There are some more functions available but those are the basics.