[etc]

/**
 Requires:
  - Loader component on Stage (instance name: my_ldr)
  - ProgressBar component on Stage (instance name: my_pb)
*/

System.security.allowDomain("http://www.helpexamples.com");

var my_ldr:mx.controls.Loader;
var my_pb:mx.controls.ProgressBar;

var lst = new Object();
lst.progress = function() {
	trace('progress');	
}
my_pb.addEventListener("progress",lst);

my_pb.source = my_ldr;
my_ldr.autoLoad = false;
my_ldr.contentPath = "http://www.helpexamples.com/flash/images/image3.png";

// when autoLoad is false loading does not start until load() is invoked
my_ldr.load();

Прям из хелпа, только с дополнением. Работает, проверял.