Weve looked at what a preloader is before: a short, repeating animation or even just text, very small in size (in bytes/kilobytes/etc.), to play as a holding screen while the remainder of a larger Flash movie downloads. Its a good idea to have a preloader if your Flash movie is over 250KB, or if youre anticipating many viewers using dial-up instead of broadband.
Usually, for simplicity, you would create a preloader in its own scene, preceding the scene containing the main Flash movie. You can do this before or after youve actually made the scene with your primary content, but either way make sure that the preloader scene is before the main content scene in the Scenes window (Shift + F2 to open).