Best (because its so versatile) way I've found of doing this is to use a movieclip with an onClip event.
I did one here-
http://www.dotdragnet.co.uk/index2.asp?action=02&cat=3&downloads=true (its called 'plug n play preloader')
That uses bytes loaded etc to display the total bytes, the bytes loaded and the percentage loaded. The beauty of doing it all on one mc is that it can be dropped in any frame- the go to condition simply goes to _currentframe+1 thus eliminating the need to specify a frame number or label. Download it and play about, tell me if it's any good.