можно вот так:

Код AS3:
var g:Loader = new Loader();
g.contentLoaderInfo.addEventListener(ProgressEvent.PROGRESS, loop);
g.contentLoaderInfo.addEventListener(Event.COMPLETE, done);
g.load(new URLRequest("грузим_нашу_прелесть.swf"));
function loop(e:ProgressEvent):void
{
var perc:Number = e.bytesLoaded / e.bytesTotal;
percent.text = Math.ceil(perc*100).toString();
}
function done(e:Event):void
{
removeChild(percent);
percent = null;
addChild(l);
}