each time they load content on 2advanced.com and other flash sites it is usually held in a seperate .swf file. all they do is put the preloader in that seperate .swf file and then when the file loads the preloader plays and loads the content while the animation is going. it does make it so you have a lot of .swf files but the benefits to compartmentalizing a site like that are worth it to the end user. it really decreases download times as they do not have to load all of the content, only what they want to look at.
if that doesnt make sense, lemme know and i will try to explain more thoroughly.
hope this helps