How do I make a preloader?

I have literally found no help on this, even after searching for nearly an hour!

I want to make my own preloader, with my own animation. It's for my game, which is about bows and arrows and shooting stuff with them.

What I need to know is:
How do I make the animation? What program do I use? What file type should it be?

How do I integrate it into my game, so that I have it play the animation as it loads?

Thanks!

P.S. The animation will be a bow shooting an arrow, and the arrow going across the screen as the game loads.

Look in the help file, section distributing / Flash, there is info on the preloader.
Basically you make a frame of your application as a preloader. It is very simple.