I'm going to explain it, so be ready to read some text !
STEP 1 : Opening Flash
Open a Flash document. You can use any version of Flash, the document just has to be in action script 2.0

I'm using Flash CS6, but you can use Flash 8 as well.
STEP 2 : Making the preloader bar
You have your scene.
Now you wanna make the preloader, huh ? Well it's a basic thing. Take the rectangle tool and make a blue filled and black outlined one.

Then, select the fill, JUST THE FILL, and convert it into a symbol (movie clip) that you're going to call "loadingBar" (actually, however you call it, it will work).

Alright. Select your new symbol in the scene and go to properties. There, you will give an

Here, we want to make the loading bar going from the center.
We want to put it in a movie clip so it will be easier to copy the whole thing in your animations : click on the whole thing and create a movie clip, double click it and make a background (black rectangle). Make sure it's centered so it will be easier to fit it in your animations (if it has different dimensions).


STEP 3 : Action scripting !
Here we go for the third part.
Create a new layer in your preloader symbol, call it "action".
Select the first frame and type in the action pannel (F9) :
_parent.stop();
stop ();
this.onEnterFrame = function ()
{
var _loc3 = _parent.getBytesLoaded() / _parent.getBytesTotal() * 100;
loader._xscale = _loc3;
if (_loc3 == 100)
{
this.gotoAndPlay(2);
delete this.onEnterFrame;
} // end if
};
(you'll se a little "a" on the keyframe in your timeline)
Then, insert a blank keyframe and select it, in your actions pannel, type :
stop();
Take your text tool and write "PLAY" somewhere.

Convert it into a BUTTON called "playButton" (or whatever).

Select it, go to actions and type :
on(release) {
_parent.play();
}
Note : (release) is better than (press) because it's only when you release the click the animation starts. If it's press, it will begin just when you click. Try to click longer in the animation below.
Make the button react to the mouse ! To get that, go in your button and you'll have 4 frames in the timeline.

On the first : the button itself (let it how you made it)

On the second : The button when the mouse is on it (color it in blue like the bar or anything)

On the third : The button when it's clicked (color it in red)

On the fourth : the "hitbox" (make a rectangle on the play text)

Now, in the scene, insert a blank keyframe and draw something.
Select the frame in the timeline and type in actions :
stop();
Here is what you should get :
Click to test the animation !
You'll say it's only showing the play button and it isn't loading anything, but it's because the sfw file is so small there's almost nothing to preload.
A real working preloader and better made looks LIKE DIS !
Download the .fla here.