how to load a Immediate value greater than 16-bits into a register

You could do what the compiler does - embed constant tables at PC-relative locations.  You can see how the compiler does it by writing a little C function and looking at the assembly code the compiler generates with the "-k" (keep assembly code) compiler option.

Now that I'm back at my desk, here's an example:

unsigned int fn()
{ 
    return 0x1ffff;
}

Here is the compiler output (note: the compiler output is heavily edited for clarity):

      .sect ".text"
      .global _fn
_fn:  LDR A1, CON1
      BX LR

      .sect ".text"
      .align 4
CON1: .word 0x1ffff

If you are compiling in thumb2 mode (--code_state=16 for Cortex processors), you can use the MOVW/MOVT instructions. The above code becomes:

      .sect ".text"
      .global _fn
_fn:  MOVW A1,#65535
      MOVT A1,#1

      BX LR