If this is your first game, a multiplayer project might be too ambitious.
Loading screens are not terribly hard - I implement them by counting up how many files I have to 'load' and then advancing the progress bar (and doing a screen refresh) every time another file has been loaded successfully. You can do this with as much granularity as you please - it might complicate your loading code to add the UI component. I wouldn't worry about it for now; maybe just throw up a basic "Loading..." frame and then implement a full progress bar later when the game is more solid. I've also seen some good implementations with multithreading.
The other two will come with experience; I think what you need more of is a general tutorial for game development than the specific answers. You should definitely start smaller. Once you understand the structure and problems of a smaller game, it will be easier to apply those to larger games.
Most reasonable game programming books will go over basic game structure; I like Game Coding Complete but it's quite complicated for a beginner (it covers more complex ways to approach large projects). Game Architecture and Design is similar, but might be better suited to what you're looking for since it also covers some minor project management "best practices."
There's a lot of different ways to do UI, from using the Java primitive UI types (depending on what other libraries you're using) to self-writing your own "HUD" implementation with just what you need.
