Heres an idea. I just threw this code together but heres the gist of it...
1. Display the wait message
2. Write the html of the table you are building to a file on disk
3. When the page is finished processing, redirect the user to the html page on disk.
<%@ Language=VBScript %>
<% Option Explicit %>
<%
'make sure buffering is OFF!
Response.Buffer = False
Response.Expires = 0
Response.Write "<h3>Please wait</h3>"
'simulate some processing
Dim i
For i = 0 To 100000
[tab]i = i + 1
Next
'Build a path to the current folder
'users accessing the machine must have NT Write access to this folder
'so you might want to think about putting this is a separate "safe" folder
Dim sFilePath
sFilePath = Server.MapPath ("."

& "\table.htm"
'build the table
BuildTable sFilePath
'use javascript to redirect... tried using server.transfer and response.redirect
'neither did exactly what i wanted
Response.Write "<script type='text/javascript'>"
Response.Write "document.location.href='table.htm';"
Response.Write "</script>"
'if you are concerned about leaving the file on disk, you could write a delete routine
'shouldn't be an issue cuz the CreateTextFile method will overwrite the file
'INPUT: Physical path to a file
'OUTPUT: a text file with the HTML representing a table
Sub BuildTable (sFilePath)
[tab]Dim Rs, sql, dsn
[tab]Set Rs = Server.CreateObject ("ADODB.Recordset"

[tab]sql = "SELECT * FROM Orders ORDER BY OrderId"
[tab]dsn = "Provider=SQLOLEDB; Data_Source=(local); Initial Catalog=Northwind; User Id=sa; Password=;"
[tab]
[tab]Dim fso
[tab]Set fso = Server.CreateObject ("Scripting.FileSystemObject"

[tab]Dim fTextFile
[tab]Set fTextFile = fso.CreateTextFile (sFilePath, True)
[tab]Dim htm
[tab]
[tab]Rs.Open sql, dsn
[tab]Dim iNumFields, iFld
[tab]fTextFile.WriteLine "<TABLE Border=1 Width='100%'>"
[tab]iNumFields = Rs.Fields.Count
[tab]'Write all the field names
[tab]'as column headings
[tab]fTextFile.WriteLine "<TR>"
[tab]For iFld = 0 To iNumFields - 1
[tab][tab]fTextFile.WriteLine "<TD>" & Rs.Fields(iFld).Name & "</TD>"
[tab]Next
[tab]fTextFile.WriteLine "<TR>"
[tab]'Write the cell values
[tab]Do While Not Rs.EOF
[tab][tab]fTextFile.WriteLine "<TR>"
[tab][tab]For iFld = 0 To iNumFields - 1
[tab][tab][tab]fTextFile.WriteLine "<TD>" & Rs.Fields(iFld).Value & "</TD>"
[tab][tab]Next
[tab][tab]fTextFile.WriteLine "</TR>"
[tab][tab]Rs.MoveNext
[tab]Loop
[tab]fTextFile.WriteLine "</TABLE>"
[tab]Rs.Close
[tab]Set Rs = Nothing
[tab]fTextFile.Close
[tab]Set fTextFile = Nothing
[tab]Set fso = Nothing
End Sub
%>