So, we've got our preloader made and sitting there on frame 1 and as far as we can tell it SHOULD work just fine.  So why isn't it showing us your load progress?  Why isn't it showing up at all until the load progress is done?
The answer we seek is in the "linkage properties" of our library symbols.

If you leave checked [default] the checkbox "Export in first frame" then the first frame of you Flash Movie won't play until that library symbol is loaded.  In other words, your preloader won't be displayed until almost everything in your library is loaded.

So now the scenario goes that you've gone through your library and unchecked that box for all the symbols, FLVs, graphics, images, and sound objects that are exported for ActionScript.  But, when you try and run your movie/game/application you get error messages saying that some class or object that you made doesn't exist!  Well you know that's not true because it existed before you unchecked "Export in first frame."

The new problem that we are running into is that Flash is loading code that implements library items that haven't finished loading yet.  Even though that code isn't being executed, it is still checking all the references withing it to make sure they exist.
The solution to this problem?  Instead of exporting in the first frame like we were doing before, we will export in the second frame!

It feels a little messy to do this, but it will never be noticed by the end user.  You have to drag one instance of each sound object, MovieClip, etc. that has checked "Export for ActionScript" onto the stage in the second frame. Then create an empty keyframe on frame 3 and start you animation/game/app there.  Your preloader goes to the frame label 'begin' when it's done loading, so just add that label to frame 3 and the end user will never see frame 2 with all that stuff on it.

The final issue that could arise for you, is IF you are using a Document Class (and if you don't know what that is, it's the class file associated with your movie.  You set it in the document properties) then all of your code is loaded on frame 1 and frame 2 is already too late to load your library.
Well, if you've written clean code using all the proper practices, then you will be able to turn your entire animation/game/app (not including the preloader) into one big MovieClip and associate your original document class with that.  Then add that movie clip to the stage at label 'begin'.