If you set the window mode in your flash object html to transparent, it will allow the user to see the loading image behind it. I'm going to assume you don't have the original .fla file to create a flash loader (that would be much better for many reasons, including the fact that if the flash animation has any state of semi-transparency (like a fade in/out) then your loading image will appear in the background).
You need to change both the embed and the object in your html, like so...
Inside the object:
<param name="wmode" value="transparent" />
Inside the actual embed tag as an attribute: