If you really want it in one movie you could use the attachMovie method instead of loadMovie. As Egg says, you would still want the loading movie to be on a Level above your main movie. I would create an empty movie which is replaced by the attached movie. Removing it would be as simple as loading your empty movie again. Each level can only contain one instance, so when you load a new movie into it, it automatically replaces that movie with the new movie. You could still create the projector file (exe) so the viewer doesn't have to have the Flash player, just like Egg said.
Best of luck!
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