Im trying to have a movie loader in my website but then what i want to do is that when i click in one image of my page this swf starts streaming the correspondent video, but still dont know how to get that exactly. I can just make a whole swf file and thats about it but I would really want some interaction from my page and the swf. Other way the swf is gonna be too heavy and the user will need to wait more just to see the thumbnails of the videos. I need just a starting point at least.
There's many ways to do this - Google for Flash video playlist tutorial for some samples.
Other way the swf is gonna be too heavy
In any case, what you should do is load the video into your player on demand. That is, when the Flash object loads, it's probably 40-100K in size, maximum. Video is not loaded into it until the visitor activates the controls, or data is sent to it by a link.
I know the answer is a bit vague, but as I said there are many ways to do this, all pretty well covered in the help files depending on what approach you use.