The "easiest" solution to this is to use AJAX and have your "blank" page call for the default index and toggle the "loading" screen.
They're just using the <body> tags onload attribute to call a function which checks to see if the page is loaded or not. THen later in the page, they set a variable (htmlLoaded) to true which turns off the "loading" screen.
Either way works, although their way mimicks AJAX while using AJAX you can open a few more doors.