For custom loading screens and other images or files you need to use the import tool with the map (check tools menu) from there you can import your image and then select it from the browse button as your described. There is a import tutorial in the tutorial forums. As for the weapons if you have done all that and your evening seeing four diffrent weapons, then it is fireing all four diffrent weapons. It may not look it, but it is, the reason it animates only one, is becuase of the events on the actor more then likely.
This is where things can get complicated, the events field on the actors can be a bit tough to understand and work with at first and to be honest were only really starting to get a full grasp on it, myself included. But again just like the morph issue, the reason your only seeing one animation of a weapon firing is because the actor is only setup for that. Again it gets complicated, since its an athestic issue I wouldn' worry about it, but if your really concered there are a few tutorials out there dealing with messing with the event feild for actors. But nothing defintive, I will hopefully have one up, but it may not be for a while.
I appricate the nod for the help, I definlty do try my best and well if we dont share this information then all of us get stuck. To anwser a few questions off the top of my head, you can scale a unit two diffrent ways, from the acutal model or the actor. The actor is best, and its under Art - Random Scale Range & Art - Scale. If you want to make it larger or smaller and make sure it shows that way, make all these values the same. (so for example the unit starts at 1.0 scale and you want it a bit bigger, make all values 1.2 in thoese fields and it will scale it for you.)
To make a unit invicible is quite simple, bring up the unit in the unit data editor and scroll down to Unit - Flags bring that field up and if you look (may have to scroll down a bit) there is an invicible checkbox, simply check that and its now invunrable/invicible. As for allowing a unit to attack while moving I do not know off the top of my head how, I belive this may be covered in a weapons tutorial here on sc2mapster, if not i'd look at the phenoix's weapon as that can fire while the unit is moving.
Hope that helps out a bit and explains things a bit more for you. I dont have all the awnsers and sometimes even my own are incomplete but hopefully its a starting point.