Preloading or buffering videos - anyone know how to do it?

[RedCherry]

We have a non-adult client who wants to have a video on the front of his site, we had a wmv file, but doesn't like when it is "choppy" and wants it to completely buffer before it starts playing. While doing that, he wants something that says "loading" with a progress bar.

Anyone know how to do that for a wmv file? MadHatter says he can do it in flash, but it really degrades this video for some reason, so trying to keep it in wmv format.

Any help would be appreciated.