To include a preloader (a separate SWF file that loads your primary SWF) with your screen-based document, create the preloader as a separate SWF file (non-screen-based), and load the SWF file for the screen-based document from within the preloader SWF.

You cannot create a preloader within a screen-based document, because all screens in a document are located on the first frame of the root Timeline, so you cannot call or load other frames.