Effects on button press

need a lil clarification here fellas!..

Question1— when a button is pressed (for ex. home…about us…etc…) and a transactions effect is played or a preloader is played where is that effect or preloader placed ?
1)on the button being pressed? or
2)in the first few frames of the page being displayed?
3)is it seperate from the whole movie?

Question2— next…when movies are loaded do most people load external swf’s of use different scenes?