There are several ways of implementing a "loading" screen. Before you actually get into any of these you may want to look at why these queries are taking such a long time. i.e. do you have indexes set up, could summary tables be produced to allow faster searches, does a data warehouse need to built etc..
For the actual "loading" page, you have several options, some of which are:
1) Create a div tag that displays a "please wait" message and toggle it's visibility
2) Have an animated gif to show somethign is happening
3) Use Client Callbacks to check on the progress of the other page
4) Use a web service and check it a various intervals to see if it has finished
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