Not bad for a first try man
You made the sprites move as if you just recorded stuff from the game, and you found some nice backgrounds and animations, and the guitar music was catchy and added to the overall flow of the flash.
But, this being a first movie, there's always room for improvement. First off, the writing seems a little similar for every character. Like, Megaman fights Sting Chameleon and Zero, and they talk back to each other like: "I will defeat you." "No, you will not be able to touch me." "No YOU are the one who is unable to touch ME" and so on...
Try to add different personalities to each villain(crazy, quiet, egotistical, badass, etc.), and as for Zero, I think you should use sprites of him from one of the later additions of the X games. You did a good job with the sprites from X1, but X3-6 have better sprites of him using his cool sword, while in the first and second games, he barely even used his sword.
Just a couple of suggestions. Very well done for a first try. Keep it up man. :)
-Phantos