A preloader is a small piece of code running in the first frames of a movie that stays there until the load is completed and continues with the rest of the movie when everything is loaded.
What might be possible in your case is to put a stop action in your external movies so they don't play everything and use actionscript to let the main movie communicate with them and tell them to continue playing.
Another option (if you are using ActionScript 3) would be to load a movie as a byte array at first and load it from that array once you need it.