Could you please be a bit more specific, do you mean the files required to make a loading screen? (if so the tutorials section will help you). If you mean actual background pictures then I suppose any picture can be used, you just need to resize it and convert it to blp (both of which can be done using applications found in the tools section). If you want the default warcraft campaign loading screen backgrounds then I think they are in the war3 mpq's so just take a look in those with any MPQ editor.