I'm using Opera (although the same thing appears to happen to me in IE). It didn't preload the images for me, it just waited 20 seconds. More importantly, of course, if you're on diallup it'll take more than 20 seconds to load 1mb of images! If you're on broadband then it still loads fairly quickly so there isn't really much point for a preloader is there?

All of your images are fairly small apart from the header (top) image which is 102kb. This could probably be a lot smaller if it was a JPEG and not a GIF, so give that a try.

Of course, we know that the real culprit is the flash, which has about 30 seconds of music? You can decrease the quality that flash uses and of course, use mono not stereo (flash combines the channels). Play around until you get a more appropriate file size.

Unless you can get your script to preload that too, I don't really see any point waiting?
Plus it does need to work in Opera.