Surprisingly, that isn’t all that complicated. They really just have a couple of movie clips, and layers. On top, is a movieclip which contains the zipping white bars.
Undernethe that (probably with a mask), is a gradient image that has the darker left color, and the lighter on the right, and using a similar principle as in the tutorial for loaing bars on the kirupa site, they make that bar move to the right as the movie loads. They also have a Dynamic textbox to the left which shows the variable of the percentage of completed loaded movie.
Well, it’s a movieclip (the orange part with a slight fade at the right) that is being moved from the left to the right as more of the movie is loaded. Maybe it’s masked to make only the part to the right of the black area visible, in case the bar would stick out to the left. The white stripes on it is just a movieclip placed on top of it.