Unique Loading Screen

I’ve seen some really unique loading screens, I was wondering how would you do some of the things they did: music, movement of the location of where the downloaded files are on the screen, a screen which changes to different images.
Are they loading multiple urls or is it something else?

sv_loadingurl + a webpage, utilising PHP, or ASP, or the likes.

Take our communities loading URL for example: http://sammyservers.com/loading/loading_board.php?simulate=1