Well it already pre-loads the scrollpane component on the first frame (in fact it does all the components). I would not recommend unchecking the box for that by the way. Unfortunately that makes it hard to do anything else on the first frame. Also you can't fire the XMLConnector until you have loaded the component, and the frame that fires the trigger won't execute until the components are loaded.
If you are just trying to show a progress bar or something like that then you probably want to create a completely different flash movie that has the progress stuff in it. You would then load the XML driven SWF into that "loader" movie, so you can monitor bytes loaded, etc...
Hope that makes sense.
Wow JT that almost looked like you knew what you were doing!