Loading screens are listed in your user.ini like this ...
[GUI2K4.UT2K4ServerLoading]
Backgrounds=2k4Menus.Loading.loadingscreen1
Backgrounds=2k4Menus.Loading.loadingscreen2
Backgrounds=2k4Menus.Loading.loadingscreen2
Backgrounds=2k4Menus.Loading.loadingscreen4
The screenes themselves are just textures, so i guess deleting those lines might work. Or else create a black texture and add it in there. I dont think they take that long to load though, ive added about 10 custom ones, makes it look pretty, its the fucking hints that bug me.
You can remove them by going to your system folder and editting the relevant files
FOR CTF and DM: Open UnrealGame.int and look for CTFHints=, DMHints=
FOR AS: Open UT2k4Assault.int -> ASHints=
FOR ONS: Open Onslaught.int -> ONSHints=
As for the footsteps, editting your user.ini as shown below will only get rid of your footsteps when you are walking like a n00b in a straight line, will still play jumping and landing footstep sounds when you dodge / double dodge / jump. Disabling ambient sounds is a bit extreme imo, but it works.
Removing your own footstep sounds [in User.ini]
[UnrealGame.UnrealPawn]
bPlayOwnFootSteps=False
[in UT2004.ini]
Removing ambient sounds (raindrops / footsteps) - Courtesy of Snakey
AmbientVolume=0.000000