// This is a very bad approach! Don't use it!

var i:int=-1;
for each(obj in myData)
{
    i++;
    var closure:Function = new Function() {
        var j:int = i;   // here the current value will be stored
        var loader:Loader=new Loader();
        loader.contentLoaderInfo.addEventListener(Event.COMPLETE,function(event:Event)
        {
            trace(j);
        });
    }
    closure(); // execute it (note that a new function will be created on each iteration of the foreach)
}