loadMovie is used for loading external .swfs and the occassional image file. What you will want to do is convert your .mov file to a .flv file (with Flash Video Encoder if you have CS3) and then have a look at the NetStream and NetConnection classes.
Or just import the video via File > Import > Import video...
It's possible to create your own skin (one that resembles the QT Player skin) but it is far from easy for a beginner and you will need a good grasp of both Flash and Actionscript.
With the newer flash players, 9.0.115 and up, you don't even need to convert your mov to an flv (granted its web ready with fast start). If you are using NetStream, NetStream doesn't even care about file extensions, you can just give path to the mov as is. Components are what care. If you are using FLVPlayback you can trick them by changing the file extension from mov to flv.
You can even do this in Flash 8, though you won't see it work in Preview unless you over wright you SA player or Debugger that your Flash App uses. Just remember to target version 9.0.115 or higher in your html page.