Well I wouldn't say this is a progress but I managed to avoid that "freeze" in the loading screen. Now the Courier Mog keeps moving, but the game doesn't log in properly anyway. What I did was changing the PhysX settings in the NVidia control panel from Auto to GPU (my graphic card) and run the game in windowed mode. Now, it won't load anyway but when I press scape I can hear the sound the game plays when you close a window.
This happens when running in Directx9 mode (no progress with DX11)