Scratch

When you post the game (or whatever you're making) on the Scratch website, it will make a loading bar for you.  So when someone views your project, a loading bar will apear as it's loading.  You don't need to make any script for a loading bar on your project.

Hope that helped,
amsteketee 

Alternatively, you can use the pen (usually what I use).  The variable "pen" is a variable that stores how close to completion the loading process is.  The script below should work; if you want a project with an example I can supply a link 

when I receive 
load ▼
pen up
go to x:
100
 y:
0
pen down
set pen color to 
set pen size to 
4
go to x:
-100
 y:
0
set pen color to 
repeat until
load
 > 
100
set x to 
2
*
load
-
100
pen up
clear