Javascript is evil, but not impossible.
Shouldn't it be possible to send a window.open at the beginning of the page and a window.close at the end of the page?
Anyway, a very simple and usually quite effective way of getting this completely useless feature to work (we all know it's loading, that's why the little logon in the upper righthand corner is moving) is by using an intermediate page.
When a user clicks the link that will load the 'slow' page, make it link to a small 'Please wait' page instead. That page should just print 'Please wait' and then redirect to the slow page immediately.
The trick is to use output buffering on the slow page so that it does not actually print anything untill it is finished.
Browsers don't clear the screen unless they have new data to print, so the 'please wait' will remain on the screen untill it starts receiving the data for the new page.
A forum, a FAQ, what else do you need?