Hi.
Basically, you leave the first 2 frames of your movie empty.
In the first frame, put text that says "loading...please wait." also put a script tht says if_frame_loaded (N) goto 3 and play.
N is the max number of frames in your movie.
In the second frame, put the same text, "loading , please wait" and also put a script that says goto 1 and play.
and thats it.