How a flash movie works with the loading thing

i have been wondering all this time, since i am a newbie too.
If you have a flash movie, how do you put everything in loading techniques so people who open our website do not wait too long.

For example if you have portfolio section menu in you web. Do we have to call the portfolio.swf with the loading inside the portfolio.swf ? I just really dont understand how the loading works. Can anyone give some flow chart of the logic behind the loading technique.

Sorry if the question is not so clear.

Thanks everyone that wants to help me