Redirection Question

I have a page (located at mywebsite/a.asp) that redirects to another page
(theirwebsite/b.asp) located in other server. This other page probably will
redirect to another link again (othersite/c.asp) and finally display the web
page I want the user to see (finalwebsite/d.asp)

What I want to do is, once they click the link (b.asp) located in the a.asp
webpage, to load a "please wait" type of page, like Expedia does while
looking for information; and that "please wait" page should appear until the
redirection process gets to the final page (d.asp)

Since all the pages (after a.asp) are located outside our server (and we
can't access the code in those pages), how can I do that?!? Please be as
detailed as possible or point me where I can find info about how to do this.