I agree with xav0989.
There are two possible situations:
1) You have a massive page with loads of content, it loads slowly, piece by piece and you want it all to appear in a flash (no, not Macromedia Flash), at once.
2) You don't have a massive page, but you want a fancy loader screen to make your site look cool, and show the progress whilst loading the page.
For situation 1, your best bet is to load the bulk of the content separately, using AJAX/javascript/splitting into separate web pages/whatever method. You can even have a loader bar for each bit!
Most web users will not tolerate long waiting times (long can be a few seconds!). So it is always a good idea to split up bulky pages into separate sections on a web site.
In situation 2, most likely users would barely see your loader before the page replaces it (unless you fake a timer). Realistically, waiting for a page to load involves some time before the page starts to load (which probably takes up the most time), and this you can do nothing about. You can't even load your loader. Then, some time when the page is loading, usually very quickly. Hence the loader would flash up for a split second. Not worth the effort!