For those just interested in seeing what the preloader looks like here is an example file.
[SWF="http://i21.photobucket.com/albums/b262/Yourapaperclip/ExamplePreloader.swf"]height=400 width=350[/SWF]
EDIT:
A small change was make to the preloader to make the play button easier to click. All that was added was a transparent background so that you can click anywhere over play and not just on the text. Thanks for the point out Jay.
[SIZE="3"]Flash CS3[/SIZE]