Use Flash's MovieClipLoader Class
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);