There are a few things you could do. I recommend using sprites, because that's the quickest way. As you'll have noticed, your game will hang while it's loading, leaving you without the ability to do anything. So before you start loading, put up your loading screen sprite and sync. Then load the first bit of media, adjust with a sprite based loading bar the percent of the load done based on the size of that piece of media, sync, and repeat. Because this can be a bit tedious, I don't really recommend loading bars. Just saying alerting the user that you're loading should do.
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