Why your preloader isn't working completely: You have added quite a large song file. If you checked "export for use in actionscript" and "export to first frame", it will be loaded before the preloader shows up. How to fix this: uncheck "export to first frame". And then make a movieclip that contains your music in the frame right after the preloader (before you actually use it), if you don't do this, the song won't be a part of your swf file. Also make sure that the song doesn't start playing automatically in the third frame by selecting "Stop" at the Sync in the properties pannel.
A lot of people make this mistake, this would actually be good for a tutorail, wouldn't it? ;)