A common structure is to put the progress display within a main.swf.
Load other swf files into main.swf.
Add the progress display to the displaylist when loading a file; update it on progress; remove it on complete.
The main thing is for main.swf to be as small as possible in filesize; it should contain little other than a progress display movieclip, 1 frame only, and the document class code.
Navigation and pages should be separate files and classes.
BTW, check out the GAIA framework; all of the low level stuff (loading, progress display, transitions, depth management, etc...) is handled automatically.
All you really have to do is edit an XML file, build page displays and configure the navigation.
The real upside to learning this framework is that it provides an excellent example of OOP best practices and site organization. Not to mention saving hours of tedious project setup: <10 minutes to setup a functional site skeleton.