this.removeMovieClip() would work if your movieclip were at a
removable depth. because you're having trouble i infer that your
code is attached to a movieclip created in the authoring
environment is therefore at depth -16000 or so.
removable depths are between 0 and 2^^20. to remedy use
swapDepths() to move your movieclip to a removable depth and then
execute your this.removeMovieClip().