Loading Content, Loading Nav, Loading etc

When a site says the above… as it’s loading on the first page, is this just a cool way to make it all look like it’s initializing? Or does it mean Nav is a separate file, content is a seperate file etc?

My next question is, is it a big no no to build a flash site all in one file? I don’t see the drama if it’s not huge, like only ends up being 100k… Or should every page that loads be a seperate file? etc