Where to save a preloader?

I have created a preloader thanks to kirupa.com

What i wanted to know is, where do i save the preloader. And what name do i give to it?

Do i save it as index.html, as this is the first page that is displayed.

Once the preloader has completed, how does it know where the actual website is? Is the actual website saved on another frame?

What if the website is not created in flash but as html.

I hope someone knows what i am trying to ask?

Hope someone can help?

Thanks in advance.