My first question to you, why do you need to use an intermediate page to show "Please wait..." or any other message? Even if you show this intermediate page and redirect to the destination page, again the browser will not load the destination page instantly. It will load the contents and take the time according to the page size and network speed.
My second question, why do you need to pass session id as query string. Again, there is no need. You can access it from code behind and use it there without exposing it to the users.
You need to show the loading image/message on the destination page itself.
The messages or images you want to show to the user are called preloaders and there are plenty of them available online. I would suggest to go with a JQuery preloader.
This[
^] one looks very nice. Have a look at it and revert if it serves the purpose.