Obviously what Tonypa said will work, but you can also use a document class:

You could also let the movie play passed the 2nd frame and stop on frame 3 (hack). In CS3, that will allow the AS3 code to use all object that were initialized on frame 2.

With this method, you can still use a document class, but you need to put all of your assets on frame two. Your document class runs frame 1 and pre-loads, once done, it passed through frame 2 (all of your assets can be hidden in this frame inside a holder, off stage). and stops on frame 3. Your game can continue to run in frame 3 perpetually while your document class controls everything.

To pre-load properly you will need to set all of your exported library items NOT check the "export on first frame button". That is what the frame 2 asset holder is for.

Anyway, it sounds lame, but it works very well.