I think you are not linking correctly with bone tools. Create a graphic symbol with your bitmap and check the tranformation point. 90% it should be in the center of image. You can change the transformation point using the transformation tools. Then link one object to another object using bone tool. Linking works from one object tranfomation point to another object tranformation point.
That video is a bad example, since a broken-apart bitmap only becomes a shape with a bitmap fill in it. The boning would not alter the image, only the shape.
What you want is to actually edit out the arm (in Photoshop) and seperate it into sections like hand, forearm, upper arm, etc and then import those individual bitmaps (with transparent background). Then make each one a symbol (Graphic or Movieclip) and then you can link them with bones.
Here is a good tutorial: http://www.adobe.com/devnet/flash/articles/character_animation_ik.html