As i recall, everything is a scene. So basically you create a scene called something like "loadingscreen" and insert a background image as a GUI Texture. Make sure it covers the whole screen and the camera is set right. For a realtime loading bar, you will need Unity Pro as i recall. Please correct me if i'm wrong, i am not sure about this
If you have Unity Pro you can use Application.LoadLevelAsync If you do not have Unity Pro I guess Application.isLoadingLevel can be a solution.