Showing that external movie clips are loaded

On some sites i have seen usually portfolio or gallery type sites there are thumbnails, text or some shape that you click on to view a particular image. What I’m getting at is some of the sties show visually that the clip has been loaded with change of alpha (images that are not loaded greyed out and ones that have already been loaded are in colour etc…).
An example of what i’m talking about is on http://http://www.niciezalavilla.com/ . When you click on the menu (selection uno), it loads a particular clip, and throughout the session on the site, u can tell which ones have been loaded and have not.
I know there are probably many down and dirty ways of achieving this, but i know there is usually 1 or 2 ‘proper’ methods for doing a particular thing.

Any light shined onto this subject would be appreciated.