Preloader, don't tell me it cant be done

Well, i’ve been experimenting with flash since a year or 2 now and the basics are all there but every time i wanna create a cool new flashsite with preloader the “no export in first frame” problem gets in the way. Basically this is what i think the problem is:

You can’t use any sounds and jpg’s or similar bitmap images in your preloader.

Correct me if i’m wrong but …

how in heavens name do you get preloaders like this? You aren’t gonna tell me that the preloader there is a vector image is it??
http://www.troymovie.com/