Pyth, 31 bytes
Wm,p+"\rLoading... "d.d.25"|/-\
Interpreter here.
Explanation
Wm,p+"\rLoading... "d.d.25"|/-\
+"\rLoading... "d Concatenate the string "\rLoading... " and the variable d
p Print the result without a newline
.d.25 Sleep for 0.25 seconds
, Form a two-element list with the results of the two statements above. This is only needed to execute both statements in a single lambda function.
m "|/-\ Map the above statement over the characters in the string "|/-\", setting the variable d to the character for each iteration
W While the result of the map statement is true, do nothing