> I added a new country but for the loading screen do I have to put those files into the load.mix or can i put them into the expand##.mix file?

You can't add a new country because the game has an internal array in the exe that tells it what graphics assets to use for the loadscreen for each country in the order they appear in the rules.ini list. Thus adding a new country will mean the game has no listing in its array for the asset to look for.