A good start
If this is your first, it's pretty good for a first actual flash. As a black and white short, it'll probably be marked out as not very good, but I have to say, although it lacked a strong plot, it still was solid enough to give an impression (especially so as a first full piece).
Not having color is fine to start, but in the future you may want to look into using shades to start (grays and such), just to get the feel of it. Color is something to practice and experiment with in flash.
The trick to making things not loop is creating a new frame at the end of the film, selecting it in the timeline, going into window, then 'Actions', and typing the following into the text box. Then just click the 'x' on the actions panel.
stop();
That makes the film stop at the end. If you want to set up a preloader (which I HIGHLY recommend), go to the downloads section on Newgrounds and download the appropriate preloader that you want. Instructions are generally included. If you have any questions, feel free to look through the various guides and the forums for help. :)
Keep up the good effort!
-Samulis