It depends largely whether you're taking a code-only approach or using the IDE.
IDE Approach: In Flash Professional, create a new layer on the stage's timeline. Put a rectangle the exact same size as the stage in that layer. Now, right click the layer and select "Mask". Lock the layer.
Now, make sure all other layers on the stage timeline are positioned under that mask. Drag the layer to just below the mask, so that it appears slightly indented in the list below the mask.
Code Approach: (Code from How to create masks in AS3?. Cheers to Sappy and Nebu for the code.)
var maskShape:Shape = new Shape();
maskShape.graphics.beginFill(0x0);
maskShape.graphics.drawRect(0, 0, 960, 640);
maskShape.graphics.endFill();
addChild(maskShape);
maskShape.x = 0;
maskShape.y = 0;
thingToMask.mask = maskShape;
maskShape.visible = false;