Can someone please explain to me, how do I play effect on a visual component created in actionscript?
It depends on what you are try to do, if you want for instance a mouse over affect you can add the effect at the same time you create the component by adding an event listener which then plays the effect.
var myComponent: SpecialComponent = new SpecialComponent()
private function runEffect(event:MouseEvent): void
You can also set the target/targets property of the effect once you've created the instance in AS, just like you do in MXML code. So where in MXML you might have something like this:
<mx:Button id="button" click="mover.play()"/>
<mx:Move id="mover" target=""/>
you would do the equivalent in actionscript like this:
var button:Button = new Button();
var mover:Move = new Move();
mover.target = button;
private function clickHandler(event:Event):void
There's no mystery here in launching effects from AS - it's the same properties and structures that you set up in MXML, just different syntactic ways of referring to the properties and events.