It could've been worse...
Okay, I noticed the graphics were both blurry and slow. When I took the quality down to "Low" the graphics situation improved (making it look pixellated and more uniform), but the speed issue did not. I may just be running too slow a system, but my train of thinking says "If I can run Counter-Strike without problems, I should be able to run a Flash game without a hitch."
The programming seems decent, and you seem to have put a lot of work into this. My suggestions for the future:
Come up with your own game theme. While Mega Man has it's merits, everyone seems to love to remake classic games for Flash, when anyone else could just as easily have gone and downloaded them. Neither way is fully legal, so why waste your time?
Make your future graphics vector. Meaning don't cut and paste so damn many bitmap files. That's basically what slowed you down. Flash is awesome for it's own native graphics, but you start adding in stuff like bitmaps, you really slow the thing down.
Other than that, you get an A for effort, and a C for everything else.