Make a new MC (movie clip) and name it "loader." Make it 100 frames long, and tween a bar or some sort of movement that happens over the course of those 100 frames. Frame 0 is nothing loaded, and frame 100 will be fully loaded. My example is a simple bar, that I masked out, uncovering more and more as it nears the last frame. (Brrr does anyone in here feel a draft?)
Nicely done. now we have a MC loader. Drag it onto the stage, place it in the "load meter" layer.