With this tutorial you can create animated loading screens which show graphics while loading up all your data. Since it uses a different thread it will not slow down or halt when some large file is loaded. With this you can create commercial looking loading screens!

Source: http://forums.qj.net/f-psp-development-forum-11/t-2-new-tutorials-3d-c-skyboxes-and-animated-loading-screens-128419.html

http://www.ghoti.nl/PSPtutorials.php