Basically, it does the same thing you would do when using AS2.
Instead of creating an empty container clip, it does this for you by instantiating the loader class.
Then, you attach event listeners that let you know when a certain event occurs (the loadProgress for instance, gets called continuously for as long the movie is loading). To these event listeners you attach a function, that gets executed every time the event occurs.
addEventListener(name of the event to listen to, function to execute);
And then you just write the corresponding functions.