Preloading with Flex for actionscript projects still seems to be really under-documented. Personally I've found it to be a bit of a joke that you've got to search half a dozen sites to find out how it's done, I mean it's preloading, it's what Flash does.

So I thought I'd add "my" approach here. It's what I'm using and seems to work well, it's been cobbled together by reading through the half a dozen websites, so I'm not claiming it's all my code or my idea, it's other peoples code who are clever than me shoved together.

Let's start at the begining,

package {
    import flash.display.DisplayObject;
    import flash.display.Loader;
    import flash.display.LoaderInfo;
    import flash.display.MovieClip;
    import flash.display.StageQuality;
    import flash.display.StageScaleMode;
    import flash.events.Event;
    import flash.utils.getDefinitionByName;

    [SWF(width="400", height="600", frameRate="40", backgroundColor="#FFFFFF")]

    public class Preloader extends MovieClip{
//---------------------------------------------------------------------------------------
// Properties
//---------------------------------------------------------------------------------------
        private var logoClass:Class;
        private var logoClassInstance:Object;
        
//---------------------------------------------------------------------------------------
// Constructor
//---------------------------------------------------------------------------------------
        public function Preloader() {
            stop();
            stage.showDefaultContextMenu=false;
            stage.scaleMode = StageScaleMode.NO_SCALE;
            stage.quality=StageQuality.LOW;

            addEventListener(Event.ENTER_FRAME,mainloop);
        }

//---------------------------------------------------------------------------------------
// Private
//---------------------------------------------------------------------------------------
        private function mainloop(e:Event):void{
            if(framesLoaded >= 2){
                nextFrame();
                triggerLogo();
                removeEventListener(Event.ENTER_FRAME,mainloop);
                addEventListener(Event.ENTER_FRAME,mainloop2);
            }            
        }

//---------------------------------------------------------------------------------------
        private function mainloop2(e:Event):void{
            if(framesLoaded == totalFrames){
//It's all loaded, has the logo finished ?
                if(logoClassInstance.animCompletedFlag==true){
                    removeEventListener(Event.ENTER_FRAME,mainloop2);
                    nextFrame();
                    triggerGame();
                }
            }            
        }

//---------------------------------------------------------------------------------------
private function triggerLogo():void{
            logoClass = getDefinitionByName("PreloaderLogo") as Class;
    if(logoClass) {
        logoClassInstance = new logoClass();
        addChild(logoClassInstance as DisplayObject);
    }
}

//---------------------------------------------------------------------------------------
private function triggerGame():void{
            var main:Class = getDefinitionByName("Main") as Class;
    if(main) {
        var app:Object = new main();
        addChild(app as DisplayObject);
             app.waiting();                        //Call the singleton to kick it all off
                logoClassInstance.dispose();
    }
}

//---------------------------------------------------------------------------------------
    }
}

Just to run through this nice and quickly, the preloader extends the MovieClip class as we're using 3 frames for the game ( The actual preloader class, the PreloaderLogo class and the Main one ( Which is the game itself )).
In the constructor we just do all the stage stuff that we want to do ( Hide that menu ), and then run an eventListener ( Mainloop ) which checks to see how much of the overall game has loaded. If frame 2 has loaded it means how logo is loaded, so we can fire that off ( See the trigger logo method, and below is the PreloaderLogo class )

package {  
    import flash.display.MovieClip;
    import flash.display.Sprite;
    import flash.events.Event;
    
    public class PreloaderLogo extends Sprite {
//---------------------------------------------------------------------------------------
// Assets
//---------------------------------------------------------------------------------------
        [Embed("/_assets/assets.swf",symbol="gywLogoMC")]
        private var gywLogoMC:Class;

//---------------------------------------------------------------------------------------
// Properties
//---------------------------------------------------------------------------------------
        private var gywLogo:MovieClip;
        public var animCompletedFlag:Boolean=false;
        
//---------------------------------------------------------------------------------------
// Constructor
//---------------------------------------------------------------------------------------
        public function PreloaderLogo(){
            gywLogo=new gywLogoMC();
            waiting();
        }

//---------------------------------------------------------------------------------------
        public function waiting():void{
            addEventListener(Event.ADDED_TO_STAGE,logoAddedToStage);
        }

//---------------------------------------------------------------------------------------
        public function dispose():void{
            stage.removeChild(gywLogo);
        }

//---------------------------------------------------------------------------------------
// Private
//---------------------------------------------------------------------------------------
        private function logoAddedToStage(e:Event):void{
            stage.addChild(gywLogo);
            gywLogo.gotoAndPlay(1);
            gywLogo.addEventListener(Event.ENTER_FRAME,waitingToEnd);
        }

//---------------------------------------------------------------------------------------
        private function waitingToEnd(e:Event):void{
            if(gywLogo.currentFrame==gywLogo.totalFrames){
                gywLogo.gotoAndStop(gywLogo.totalFrames);
                gywLogo.removeEventListener(Event.ENTER_FRAME,waitingToEnd);
                animCompletedFlag=true;
            }
        }


//---------------------------------------------------------------------------------------
    }
}

All that's happening there is the class embeds our logo and plays the animation. The waiting() method checks to see if this class has been added to the display list, if we don't wait then you open up a world of pain where the class can't find the stage.
The waitingToEnd method is as simple as it gets, once the animation has finished it just sets the animCompletedFlag to true.

Going back to the preloader class, after the PreloaderLogo class has been triggered we're running mainLoop2. That's just a check to see if the whole game ( ie all 3 frames ) has loaded. If it has when then check for the animCompletedFlag to be true. If it isn't it means the preloader logo is still running, if it is true, then we're done. The game has loaded and our sexy intro anim is done. From there we do exactly what we did before and trigger our Main class ( The game itself ).

The last part of this is the setting in Flex itself. Right click your project and select properties. From there go to the "ActionScript Compiler" options and pass the following arguments to the compiler