You want to use the Loader class in Actionscript 3. If you look at the example in the online help, you'll see that there are, among others, a progress event and a complete event. You can use this progress event, to track the progress of the loading of the file. The complete event occurs when the file has completely loaded.
Have a look at this: http://help.adobe.com/en_US/ActionScript/3.0_UsingComponentsAS3/WS5b3ccc516d4fbf351e63e3d1 18a9c65b32-7fa4.html it explains how to use a Progress Bar component to show the loading of a file.