It's very easy to create a loading screen.
Step 1: Create a new frame.
Step 2: Put any kind of picture you want to display on the loading screen
Step 3: New condition > storyboard controls > start of frame
Step 4: On the new start of frame condition, put: Storyboard controls > Jump to frame > And select the game frame.
Step 5: If there's a "start game" button in your main menu, do this: New condition > the mouse pointer and keyboard > mouse > user clicks on an object > choose the start game button.
Step 6: User click on an object > storyboard controls > jump to frame > choose loading screen frame
And that's it. This a real loading screen, that means that the loading time depends of how much content you game has.