Knight52

Just to be sure, is trapezoid considered a plane? And D3DXPlaneFromPoints which create plane from 3 vectors can be used to create trapezoid?

check if the directx functions you are using are thread-safe without any code, it's hard to help you as you should know, in threading, all threads can access the same (shared) memory without mutex locks, you can't be certain that the same memory isnt accessed or overwritten by threads at the same time one bad example is: if you allocate memory at the same time on both threads, both pointers could end up with the same value! (memory offset) threads don't necessarily start in the order you started them in they don't execute at the same speed just google threads! theres LOTS you need to know about them before you can start using them in a game!! start using threads in a small test project and find out what you can and can't do!

I know how bad it is to go multi-threading, but I don't know how else I will load stuff behind the loading screen.

Have you tried non-blocking or asynchronous I/O?

I've created a mutex lock, still doesn't fix the leaks. I've tried WM_TIMER which I understand it's one of asyn io processes, doesn't fix the leak either. So I don't think it's multi-threading resource issue.
Here's the some sort of algorithm. Hope this will help.

Retrieve info
if player is initialized.
{
	 separate the player and equipments from resource pool.
}
Flush the resource pool. This includes Skybox primitives and texture, object's model and animation, terrain, and lights' shadow maps.
Open the file
if(file == null)
{
	 Messagebox ("cannot open file")
	 exit
}
Load new resources by reading info from the file.
if player is initialized
{
	 add the player and equipments back to resource pool
}
else
{
	 initialize player and add it to the resource pool
}
delete file.
hide loading screen.
release mutex
close mutex

do you also swap the depth buffer with one with the same size as the shadowmap?

so that's the problem. Should I create another texture for this swapping?

I swap default render target to shadow map's surface before rendering the map, then swap back when finished, if that's what you mean.

you ask why does screen have 4:3 ratio? Isn't it still standard resolution ratio nowaday? I mean I will, at least, try to make this game go public, so shouldn't it at least have 4:3 ratio?

Can you expand on this - something with the effect framework generates an error?

HRESULT result = effect->ValidateTechnique(ShadowTechnique);
  if(FAILED(result))
  {// will generate error -2005530591 D3DERR_CONFLICTINGRENDERSTATE
   MessageBox(cq->handler(), "Failed validating Shadow Mapping technique", "ERROR", MB_OK);
  }