1. If you look at the default Publish Settings in a Flash CS5 fla file, you will notice under Flash ->ActionScript 3 Settings, a swf preloader file (loading_animation.swf) listed with a local path to it. Indeed, by default a little preloader is included in a published swf file.
2. Go through http://www.adobe.com/devnet/actionscript/articles/lightweight_as3.html on creating a preloader in Flash
Just refer http://www.adobe.com/devnet/flash/articles/preloader.html for more details & generic guidance on preloaders
ps: please mark this post as Answered if this of help to you
Further to 1 above, there are preloader template files in Flash CS5 (File > New > Templates > Sample Files). There's one for external content loading, and one for loading the same SWF.
If you're using TLF text, you should read this blog post here: http://jeffkamerer.com/blog/2010/08/12/using-a-custom-preloader-loop-with-tlf-text/