Hey...if you go up to "Movies" and do a search for 'preloader', you should find a variety of downloadable FLAs that you can modify to suit your needs (that's how I got started with them).

Some are tougher to figure out than others, but you should be able to implement any one of them relatively easily.

Once you start trying to get them working the way you'd like, and you develop some more specific questions, I think we can be of more help...

Good luck!