All righty, so you've got all your maps and I assume you've got frozen throne. Go to the campaign editor, and create a new campaign. Change the name, discripion, whatever you want. Then click the button "add map" and add all your maps. Next click the "Loading Screen" tab. Here you can choose what to have for your loading screen. Right click on the big white box and click, "add button".
If this is a normal campaign, the first level will be visible, so after naming the button, click "yes" for the visible box. All the others will not be though, but make invisible buttons for all your other maps in the order in which they will be played. If you haven't already, you will have to edit your maps so that when you beat a level, it sets the next level to whatever level you want to do next, and when you beat it it enables the next campaign button (all of those are triggers). You can make custom data for the whole campaign, or import things for the whole campaign there, too, but those are the essentials.