Some games pause while they're loading; for example, when you load resources in a Game Maker game, everything in the game will pause while it loads them. If MMF2 does that, then I find the easiest method to make a loading screen is to tell the game to display the text "Loading" (or something to that extent) and then load the resources, so that the loading message is onscreen while it's paused, and then goes away when it's done.
Alternatively, you could have it load each resource separately, and right before it loads each one, have it draw a loading bar, and make each consecutive resource increase that loading bar.