Flash :: Using The Pen Tool - Line Automatically Connects Between The Two Points In A Straight Line

I'm in the process of teaching myself the components of the CS4 Design Premium package using the Adobe Classroom in a Book series. I'm currently going through the Flash CIAB and i've started using the pen tool. The task involves creating a wave like design across the stage. Whilst this in itself is simple, the final instruction is to click on the first anchor point to close the shape. In the illustration, the closed shape seems to automatically extend around the stage, however when I click on the first anchor point, the line automatically connects between the two points in a straight line.

Am I doing something wrong? The next step is to fill this area, but with the straight line effect that I am getting, this becomes impossible. I should point out that the instruction states that the pen tool line should extend off the stage. I have done this, but even then on clicking on the first anchor point the shape is closed incorrectly.