Sound class
This doesn't actually have a complete event (in the way you might be thinking of). What you might be refering to (in the AS Docs) is usage of the flash.events.Event.COMPLETE event. This is only used for loading sound files, and tells you when the data has successfully loaded. So, typically, you'd just use the Sound class to manage the loading of things...
SoundChannel class: flash.events.Event.SOUND_COMPLETE
This is what should be used for detecting the completion of audio. The SoundChannel class is what you'd want to use to control the stopping/pausing/playing of things.
private var _s:Sound;
private var _sc:SoundChannel;
When loading audio...
_s = new Sound();
_sc = new SoundChannel();
_s.addEventListener(IOErrorEvent.IO_ERROR, errorHandler);
_s.load(new URLRequest(url));
When playing audio...
_sc = _s.play();
_sc.addEventListener(Event.SOUND_COMPLETE, soundCompleteHandler);