How do you make that loading bar in the beginning?

I am somewhat experienced in movie-making (only movies, i know absolutely nothing about action-scripting). Can someone inform me how to make that loading bar in the beginning of the movie? Some of my cartoons are kinda big…speaking of which how come some files get so much bigger than others when they’re not even longer. Is there some trick to make the file size smaller? (Most of mine are hand-drawn on flash). Thanks again for your help guys.