You have to make 2 more directories in your .pk3 file.
1) Make a directory called "textures". In here, make a sub-directory called "mohmenu". In this, place a sub called "dmloading". And place your loading screen image in here.
2) Make a new directory called "ui", and in here place the .urc file. If you don't have a .urc file, go to
http://www.dafront.com/~nemesis and there is what you need in the "Custom Load Screen" tutorial. Just substitute your map's name where needed, and you're good to go.
Word of warning: the load screen will not work if you do not save the image in the right format. I have found that it will always work if you use Photoshop6 and save it as a 800px x 600px, 32-bit .tga image with
NO ALPHA CHANNELS.
Lastly, the only thing you need in your script is this:
exec global/ambient.scr (yourmapname)---without the ()
Oh yeah-- and you need a shader in a directory called 'scripts'.
The exact shader is also listed at the link.