Regarding preloaders

Okay first I must say that I am still very very new to actionscript, so please pardon me if what I’m asking is really very stupid.

I know that preloaders basically load the movie before it plays and I understand the actionscript behind it (I think). The thing I don’t understand is how to apply it. Also, how do I do it so that it can load other components of a site such as music, or an externally loaded movie instead of the entire site?

Thanks in advance.