If you're not using the ProgressBar component, you probably have the preloader on frames 1 and 2, and the rest of the movie in frame 3. If you're using any other components, though, you have one more step to take.
Components are loaded into your movie before the first frame is rendered, which means they're loading while your preloader sits there, doing nothing useful, watching American Idol or something. If you don't want this to happen, you need to deselect the Export in first frame in the component's Linkage Properties dialog as shown in Figure 35-4.