It is probably due to the size of the file that is being loaded. Since there appears to be a preloading indicating (the dots animation), the main file must be loading quite quickly, but the file it loads is probably a bit large.
I frequently see many movies that are much larger than mine. I wonder how they make theirs load correctly without making people wait.
Your index .swf is 6.6 MB and displays 5 different images.
First off... a 6.6 MB .swf is HUGE..it will only download as fast as the viewers connections speed will allow... which could take a little while.
Second if there are only 5 images, they must be HUGE iamges... yet there display is not that large. Resize the images outside of Flash to the exact pixels dimensions needed in Flash, nothing more... Do not resize them in Flash because the large image will need to be loaded then, resulting in the long loading time. Using large bitmaps in the .swf is most likely the problem.
Third, another option would be to turn your photo animation into a .flv file and play it as a video file. That way the file would be progressively downloaded. That is, a small portion of the file would download , display would start, and the remainder would download as the video file was playing. No "skin" would be needed, just the vid player... no controls, etc.
I agree with the above. You need to simply resize the images to the largest size you need them and nothing more. That will dramatically cut down the size.
FLV is not a good route. Stick with the images.
Also, turn on image smoothing and you will have smoother antialiasing. You can do this in the image symbol's properties.