To start off, create a new Flash document with the following settings.
Create a text field on the 1st frame with the text "loading", using the settings shown in the image below
Convert the text field (F8) to an MC (Movie Clip Symbol), named "loading" and with the registration point set to the top left.
Double click on the "loading MC" and create another text field to the right, with the text "99%". As can be seen from the properties panel, shown below, the text has been made "dynamic", and a Var (variable) has been given to it called "p". When the Flash site is preloading this variable will hold the percent number that has loaded so far, and it'll be displayed in the dynamic text field.
Next, go back to the root timeline and click on the "loading" MC. Open the actions panel and add the code below. This bit of script checks to see how much of the Flash site has loaded and displays the percentage in the text, via the "p" variable. Once the whole of it is loaded (loaded == total), the timeline will go to frame 2, where we're going to create the actual site.
Name the layer, with the "loading" MC on, "MC" and add a new layer called "script". While the first frame of the "script" layer is selected, add a stop() action in the actions panel. This is to stop the timeline from going any further, while the site loads.