I understand you
nice site btw...
now what you want to do is:
when your main movie is loaded immediately ask flash to load the other movies into targets, preferably invisible ones (or just hidden is ok too)
if hidden or invisible isn't possible, make your loaded movie like that, so your first frame doesn't have anything in it, and it only goes to the second frame when the necessary button is pressed.
this also goes for levels.
see where I'm heading?
A movie doesn't require to be loaded when it needs to be played, you can load it in advance, but whatever you do, make sure your main movie is loaded fully first, because that's the part people want to see.