Building Preloaders http://www.adobe.com/devnet/flash/articles/preloader_02.html

Examples of preloaders
http://www.smashingmagazine.com/2008/03/13/showcase-of-creative-flash-preloaders/

Preloader tutorials:
http://tutorials.learnflash.com/tutorials/flash/preloader.html

http://www.viddler.com/explore/dorklessons/videos/12/