There could be a number of reasons:
1. Broken download stream which could involve you have reached your maximum data transfer for that day,week,month etc. The list is endless really with data supply from servers. BUt IM pretty sure this wont be the case here but worth exploring anyway.
2. YOur swf file is corrupt. You might want to try re-publishing it again.
3. The preloader script is buggy. Take another look at the preloader script and run a few local tests. You can emulate download speeds within the Flash publishing API view-->Simulate Download.
I hope this helps.
hm.. the strange thing is that happen only on my PC? I asked few friends to visit the website and they said the website loads with no problems...?