In fact, the proposed method is to create in your HTML and after loading everything in your entry point hide it:
<html>
...
<body>
...
<div id="loading">
<span id="loadingMsg">Loading ...</span>
</div>
...
</body>
</html>
public void onModuleLoad()
{
...
RootPanel.get("loading").setVisible(false);
...
}