How does the preloader work?

Ok, I have a preloader that works, but I made this website and when I loaded it online I realized I need preloaders in it. But how do I do that? The website is completed, but I guess now I have to go back and put in preloaders on all the pages? I have pages where you click and they load a picture(from an external page) or they load a video clip. How do I put preloaders in there, is there a simple way?