You can change the preload image in two ways:

1st way

Download with this link source files, find replace picemaker.swf file in piecemaker folder, copy and replace it for your site. In result will be shown default “Loading first image…” frase.

2nd way (if you want to add your own image for preloading)

Open downloaded source piecemaker.fla and find preloader Movie clip in Library (to see it press Ctrl+L for Windows or Cmd+L for Mac). Open it. You’ll see StylishWeb preload image. Copy and paste here your image and drag it into right place you want. After that save file and press Ctrl+enter 9or Cmd+Enter for Mac). Now you got new piecemaker.swf file. Copy and replace it into your site. That’s all

Also I made a screencast how to change preload image for piecemaker slider.