1.Insert a new scene and call it preloader.
 
2.Check to see what the last frame # in your movie is.   Keep this in mind.

3.In the Preload scene insert two blank keyframes.  

4.Double-click the first keyframe and assign it the following actions.
'If Frame Is Loaded' and select the last scene in your movie (if you only have 2 scenes select the one that isn't the preloader).  Also, type the last number of the frame you remembered earlier into the 'Frame Number' area.  Then add another action GoTo & Play (which should be inside the If Frame is loaded action) and select 'Next Scene' from the drop down box. That's all for this frame

5.Double-click the second keyframe now.  Add a GoTo & Play action, <current scene>, Frame #1.
 
6.That is all you need to do as far as the functin aspect is concerned, but you have no image to load so now you can make a image.
7.Design an image... probably the best choice would be a movie clip.  Don't make it too much though as the whole point of a preloader is too make things better for your audience to wait.  After you are done making your image, insert it into the Movie Stage from your personal library.  Insert an extra layer under your "Preloader" scene and drop the MC (Movie Clip) into it at frame 1 just to make things more organized.
For a design you can make anything from a fading text to a bar that 'looks' like it is loading.  Whatever you want can go here.

8.
Math.floor(_root.getBytesLoaded()/1000);

and to get the percentage:

total = _root.getBytesTotal();
loaded = _root.getBytesLoaded();
percentage = Math.floor(loaded/total*100);

9.Test your Preloader by going to your Control Menu > Test Movie
   
Give this a try !!

Ahh, yes... the fruits of your labor are so rewarding. As NIKE logo says "just do it"....lol