Simple swf preload question

I have a real simple question but can’t find an answer here. To preload a single swf and have the load details embedded in that swf. How is it done, doesn’t the file have to load first to show the preloader?

Take a look here, excluding the music, it’s just one swf file that loads, home.swf. Yet, it preloads the file with a load bar at the start. How is this done?