Use Flash's MovieClipLoader Class (See related posts)

I'm always forgetting the syntax for this...

var oImgListener = new Object();
oImgListener.onLoadInit = function(target_mc)
{
     trace(target_mc._name + "  load complete");
     ...
}

var mclImg = new MovieClipLoader();
mclImg.addListener(oImgListener);
mclImg.loadClip("http://myurl.com/path/to/swf/or/jpg", mcImgLoader);