Okay, here we go. This took me several hours to figure out after I found your post. I only found your post because I was trying to figure out the same thing.
1. Create your movie file that is your motion menu, attach it as an asset. Do not build a time line out of it.
2. Create a new menu, hold the Alt key while selecting your menu asset you just attached and drag it to the menu you just crated. This will make the asset the background object of the menu, the first frame of the motion menu is the still image you will see.
3. Add your buttons and affects that you want.
4. Go to the File menu and select menu option render menu’s wait the few min it will take to build the menu.
5. Preview your new menu.
You can play with different effects for your menu background in Photoshop CS3 extended, adding transparencies to the screen to mask part of the movie that is your background.
Hope this helps you. Please excuse the spelling and grammar I am dyslexic, or lesdysex depending on who you are.
Thank you
Dale.