I have been having this problem as well. If I hear of anything I will give you an update.

Hey man,
I was able to get this working, in IE6
I took your code and modified it a little, I just went with a text preloader on the stage named myTxt.

Removing the event listener at the appropriate time, in my case 50% seemed to allow the video to work without a problem



myVid.addEventListener( ProgressEvent.PROGRESS, onProgress );
//myVid.loaderInfo.addEventListener( Event.COMPLETE, onComplete );


function onProgress(event:ProgressEvent):void{

var prog = Math.floor((event.bytesLoaded/event.bytesTotal)*100);

myTxt.htmlText = "Loading " + prog + "%";
if (prog > 50){
myTxt.htmlText = "";
myVid.play();
myVid.removeEventListener( ProgressEvent.PROGRESS, onProgress);
}
}

function onComplete(){
myTxt.htmlText = "Loaded";
}