Is it a preloader that you are wanting?

If so go and check www.actionscript.org or www.flashkit.com both sites are full of resourses which you can download and use. Also both site have tutorials and forums which can also help.

Good luck, and you can also buy good books which will take you through the principles of constructing .fla movies. The ones that I would recommend are for MX and not 2004MX and these are "Flash MX Savvy" and "Flash MX H.O.T." both are great with the last one more aimed at the beginner to intermediate levels. Both of these books can be bought in Amazon.