I have created a simple flash movie that uses a grid, a dataset,a xml connector
and a xml file. It works good when i tested. My issue happens when created
another movie with a loader and load the first movie. It loads correctly but
the connections doesn?t work. The information never appeared in the grid. What
is going on? Is it an issue of the loader?

Check to make sure that your XML file address is either relative, or if hard
coded, change the address to reflect the new root directory of the parent movie.

If that doesn't help, check to see if your actionscript in the child movie has
any _root references. If it does, use the following line of code in the parent
movie before importing the child movie:

myLoader._lockroot = true;

This will force those '_root' references in the child movie to be relative.

Not sure if this will help, but hopefully it does.