One way would be to draw each element of the lens flare and place it on top of a sky image. You would then vary the alpha properties of each piece. If desired you could also animate them to rotate around an axis to give a sense of movement.
Flash does not have a built-in flare effect but you might be able to find another application that can do it without having to draw it all out yourself. Try asking in the Photoshop forum. Photoshop General Discussion