This obviously takes longer than few seconds (maybe on localhost, but its like few minutes on T1).
I would definiaely recommend you to make separate window for it - The Updater.
With all this idicators "0MBs/250 MBs"; "44%" and estimated time.
Thats the standard ;p
Now theres a 2nd download just after choosing character.
These 2 shouldnt be separated. Download everything just once, let the user eat or drink something in the meantime.
It's overwhelming to wait again when we just downloaded the 1st package.
Another thing is, what the user see during downloading...
a) screens from the game?
b) gameplay tips
d) crafting combinations
e) World map with marked cities and their history
whateer, im sure you will find things that fit your "world-style"