If you convert your AVI files to the latest FLV you should be able to import them into flash. It's what I did for my latest flash. In fact, I think Premiere can export that directly to a high quality FLV.
Create a new .fla file in Flash.
File>Import>Import Video
Then select the filepath for the FLV and click next.
Select the radio button that says 'Embed video in swf and play in timeline'
Finally, just create a new scene, put the preloader in it and make sure the preloader scene is before the video scene (alternatively you could just move the whole video one frame over but personally I always create a new scene for the preloader)
If this doesn't work post the exact wording of any and all error codes you get while trying this. Good luck.