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Well as I had made a lot of comments that only speaks of me and my projects, so this time I want to make a post that helps someone, I'm sure a lot of you people know what I'm going to write, so this is for those who doesn't.
When you start making a game (rather than a movie) you select some symbols to be export to actionscript by attachMovie. Just remove Export in first frame option. Place that symbols on the third or fourth frame (or whichever), so you make your loading on the first frame (or the first and the second as some use to) and after filling skip this frame where you place all your symbols.
The loader will shows up very quickly even if your movie is 4 or 5 Mb. This also work for Sounds that you attach... but you need to add a movie clip with them inside it, just add the sound after the first frame otherwise a buggy sound will be heard on some slow machines. Flash may tell you that you had duplicated sound on the movie just ignore that.
Hope this helps!