The point of preloader movies is to let the user know that things are happening. Without a loading bar you might get a blank screen while the first frames are loaded. Also most of the components you use in Flash are set to export on frame 1, this means that frame 1 sometimes is the heaviest frame and so, while it is loading, the user has no idea what is going on with the movie.
You have to be more specific. Is the text file in the same server as the .swf? Or from an external domain? Is data for each country loaded from the same text file, or from different ones? Is this your own server or a web host? There are some restrictions about loading data from other servers, it's not allowed unless you specifically set the site's domain as allowed.
What operating System and browser? Flash player is not the same for all browsers and OSs. Mac OSs have really poor flash players and there are often some browser incompatibilities. Are you sure the movie is downloading? Check you Temporary Internet Files to see if your .swf is there. Have you ruled out security settings as the cause of this?