This is the code I use :

bmap loading_lv = <blank.bmp>; //Loading screen
panel loadingscreen {
bmap = loading_lv; //loading screen name
flags = refresh,d3d;
}

function load_level()
{
loadingscreen.pos_x = (screen_size.x - bmap_width(loading_lv))/2; //centers loading screen
loadingscreen.pos_y = (screen_size.y - bmap_height(loading_lv))/2;

loadingscreen.visible = on; //displays loading screen
wait(3);
sleep(2);
loadingscreen.visible = off; //clears screen
bmap_purge(loading_lv);
load_level(<level2.wmb>) ; ; //level name

}}


ACTION levelchange //*assign this to a map entity blocking the way out of the level*/!!!!
{

MY.INVISIBLE = ON; //makes entitie invisible
MY.ENABLE_IMPACT = ON; //enables player impact
MY.EVENT = load_level; //function name

}