Ok, a loading bar in HTML requires HTML 4.0 code, and JavaScript.

Basic summary, put an on load event into every image. Have the javascript increment a percentage bar based on the on load event. A bar built out of tiny graphics being switched from a 1x1 color to another 1x1 color works well, simply use the width and height tags to stretch them. Now for the fun part, the Javascript needs to know ahead of time how many onloads will exist to make the percentage bar somewhat accurate. Precise accuracy will require the file size of each image.

All in all, it's a mess, and may not be worth it. If you have a slow connection, check out http://www.perilith.com/~drakino/b52/ , it's one of my DHTML play sites that I never finished, and does have a load bar. On my broadband, it loads too quick to be really seen though.