When you say "but couldn't find it in sprite object." what do you mean? Adobe's documentation of the Sprite class lists the z property in it's property list (http://help.adobe.com/en_US/AS3LCR/Flash_10.0/flash/display/Sprite.html). Perhaps you need to click "Show Inherited Public Properties" to see it? Anyway, the following pseudo-code might be helpful:
var sprite:Sprite = new Sprite();
addChild(sprite);
addEventListener(Event.ENTER_FRAME, onEnterFrame);
protected function onEnterFrame(e:Event):void
{
sprite.z += (mouseX - sprite.z) * 0.2;
}
Good luck!