Sorry, I"m not sure I understand your question. Are you trying to place this dragon into your game as a statue? Or are you trying to change a loading screen? Understand that I am NO KIND of modder, but if you're trying to place a statue, that looks like it might be the LoadScreenFrostDragon1 under the Static group under World Objects. From there, you probably want to have a look at this:
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http://www.creationkit.com/Bethesda_Tutorial_Clutter#Static_Clutter
...if you're asking about changing a load screen, I have no earthy clue. And if you weren't asking for help to begin with, sorry for misunderstanding!