You could use an absolute div and place it over the whole page. you could use something like the following CSS to do that
#overlay{
position:absolute;
left:0px;
top:0px;
right:0px;
bottom:0px;
background-color:#fff;
}
(not sure if that works in IE)
then on the body onload function it could disapear... you could fill that div with any loading message you want.
Although, you need a failsafe for the user not having javascript, or it will never dissapear 😛 effecively blocking the website.
oh and it looks cool if you use the CSS properly opacity 😉