This means that important files for playing are being loaded. The loading bar will fill and empty multiple times, as long as it doesn't halt for a minute or more you should be okay. Once all that's done, the message will change to something akin to
After a few seconds, you should see a red square flickering in and out in the top left corner! This means you've successfully made a connection with the server and not long after that, you should be in. The square may disappear after showing up, this is normal. If you are stuck on this stage for more than a minute or two, close the game out and try again. It sometimes takes two or three times to work.
Don't alt-tab out of the loading screen, it never seems to load if you do that.