Well...
It's not that bad. For some reason this reminds me a lot of the Cheat flash movies over at H*R.
To be honest it was a little confusing at times, but it's an honest first try. I'm curious, though; where did the sprites come from? Did you make those yourself or are they rips from a game? They have a defnite Final Fantasy look...
The movie itself kind of drags on. I understand this is a music video, but... In my opinion, the scenes tend to stay the same without much of a change or anything really interesting to keep your attention. There's a few flash made backgrounds, but a lot of it is sprites and cropped images. Not that there's anything WRONG with sprites and cropped images (especially coming from a guy who did a sprite-based RO flash on his first try), but here... it just doesn't seem to work.
On the whole, it's nothing that's outstanding, but given this is your first shot, it's not outright horrible. That may just be me.