Loading issue / Doing things right

Ok,

So I think I know that I’m the problem, but how do I fix it?

I build flash movies, and I have heaps of things that attach themselves to the first frame. Problem with this is, loaders never work, because the first frame takes the longest to load. What I do at the moment, is create a invsible clip on the second frame and hide everything in that, but there has to be a better way!!

Can anyone guide me in the right direction?