Jubba’s on the money.
The only thing to note that he didn’t is this. If you put the animation in a movie clip on the main timeline, it should start on frame 1 or 2 depending upon where you’re loop sends the play head back to, and then it should continue until the looping frame. That is to say, if frame 3 has the gotoAndPlay(2); action, like in my example, then that animation should have a keyframe on frame 2, and then a regular frame on frame 3. If you leave it just on frame 2 and then have a blank keyframe on frame 3, then the animation will keep restarting on it’s first frame… if it is not interupted, then it will play continuously in a loop, while the preloader does it’s thing.
Make sure it’s pretty small too. If you’re preloading a meg and you have a 200k animation set to play during the preload, a 56k user is going to have to wait a while before he sees anything on the screen. Preloader animations should be between 5 and 10 k maximum for good effect on lower bandwidths.