The [Frame] metdata tag is ignored by the Flash IDE compiler, but all that instruction does is to place all the code with the exception of the Preloader class (in your example, or whatever is the defined 'factoryClass') onto the second frame. Since you have a timeline right there in the Flash IDE, you can put the instantiation of the Preloader class definition into the first frame for yourself, and add the rest of the code onto the second frame. Remember to put a stop on the second frame.
Alternatively, and probably a better solution, is to get a copy of Flash Builder, FDT or Flash Develop, all of which should respect your [Frame] metadata, or can very easily with the right flags.
More information about the [Frame] metadata can be found here: http://www.bit-101.com/blog/?p=946 (which is probably where Flixel got the idea from in the first place). Hope this helps.