There are many different kinds of websites when it comes to the way information is arranged. Some people might build a Flash site in which all the information downloaded by the users is contained in one mammoth file. The entire FLA file and everything associated with it (including JPEG images, sounds, and so forth) is contained in one SWF file that is progressively downloaded from beginning to end. Then the visitors can click through each page. Whether the user looks at all the content or not doesn't determine how much he or she has to download. Visitors download the entire website regardless of what they want to see. This is not a best practice unless you have a very, very small website.
Why, you ask. Well, for starters, why should your end users be forced to wait for content that they'll never look at to download before they can even use your site? Heck, why should users be forced to wait for an extensively long download time, period? People on the web have short attention spans, and if they have to wait for a long time for something to happen, they're likely to move along down the road and find a similar resource that doesn't make them wait for things to happen. Granted, you can mitigate this situation somewhat with progress bars or some other type of progress indication, but even then, people won't wait when they can get the same information or products faster and elsewhere.
Instead of creating a FLA file that contains all the content of your site in one large file, you should create a site that dynamically loads most of the content at runtime (when the SWF file plays in Flash Player). This is mostly how the Tech Bookstore is working, albeit with some exceptions for the purpose of learning. There are many ways to externalize data, such as hooking it up to a database or extensive use of XML text files, Flash Remoting, or Web Services. You can load JPEGs, PNGs, GIFs, MP3s, text, and other SWF files into your document on the fly. All these ways mean that you are working with dynamic content and improving the way your Flash documents work while loading only relevant information at the appropriate time.