Want my Website to load faster

Single large file downloads can be throttled. If you have one giant SWF with all your assets in it, consider breaking it into separate SWFs by type. Load the most vital first to get "something" to display (preloader as kglad mentioned or startup animation graphics) and back-load anything that isn't immediately loaded later. This is just a standard tactic, flash or not. The biggest speed bump in loading complex non-flash sites is actually limiting the number of http requests as well as using CDNs. Flash is the opposite. Too much crammed in a single downloaded file isn't desirable.

Make sure the quality of the graphics and especially sound is actually required for your users experience. Most people can't tell the difference between 112kbit stereo and 192kbit stereo but the file size difference is very noticable. Same with graphics. I almost never export a web JPG over 60 quality using photoshops save for web and to any standard user the graphic looks clean and crisp. Same for video..

show your website firstly. May be you have huge amount of images?

you can delay the loading of anything that's not immediately (in frame 1) needed.  but whether that will be a significant help to you is unclear.  it depends on a number of specifics related to your website.

you may just want to create a preloader that displays something entertaining and informative while your site is loading.  that would not require any specifics.