how do I make and implement these small movie clips that appear while the main movie clip loads?
I'm a bit new to flash, I just need a small hint about this!

There's a pretty good set of tutorials over at www.kirupa.com. I think I
searched for progress bar or something and got a bunch of pretty useful
tutorials.

Good luck.

BTW, I think Kirupa's site is down right now. I haven't been able to access
it for a few hours.