I'm working on a secret project that will be 100% better than Project Raft.
http://www.desura.com/games/project-raft-an-indie-shipwreck-survival (Plug Plug) Anyways I made a loading screen in Project Raft but it didnt really work, it just resembled what one should look like.

So how would you make one of those fancy ones with the progress bar and what not?
What an incredibly hopeless question referring to your own subjective non-disclosed assumptions with no hope for any kind of workable answer other than those of poignant vagueness.
Therefore, the only sensible answer is the very definition of what a progress bar is. Which you can find here:
http://en.wikipedia.org/wiki/Progress_bar