Cascading functions from events

HI, I have a big doubt about loaders:

When loading video, pictures or XML data, an event is dispatched when the load process is finished, then a function is called to do whatever I want to do with the loaded data.

So all subsequent instructions must be inside the called function. In if I need more data loads, I find myself diving into nested functions, and I dont like it.

Is there any other approach for these things?

Regards: Miguel