Loading Window

Hey, I''m currently working on a 2d RPG using DirectX. Right now the only working portion is the battle engine, but I''m already noticing poor loading time. I decided early on to load all graphics at run-time, then use a graphics manager class to obtain pointers to each graphic when needed. This was done to avoid any uneccessary duplication of graphic data. I''m also using a similar method for sound. Loading time will certainly become unacceptable as the number of graphics and sound increases, so I would like to use a small loading window (e.g. Warcraft III), then switch to fullscreen once all the graphics have been loaded. What would be the best way to go about doing this? Is it better to just create a loading window, then kill it and create another for going to full screen? Or is it possible to easily change from windowed mode to fullscreen with DirectX? I''m using Direct Draw. Also, is this a practical approach or should I stick with loading each graphic/sound as it is needed?