One approach is something like the following:
Manipulate[
 Module[{nb},
  nb = CreateDialog[{TextCell["Computing..."], 
     TextCell[
      ProgressIndicator[Dynamic[Clock[Infinity]], Indeterminate]], 
     TextCell["Click OK to close"], DefaultButton[]}];
  Pause[3];
  NotebookClose[nb];
  u],
 {u, 0, 1},
 ContinuousAction -> False,
 SynchronousUpdating -> False]
Note the ContinuousAction -> False option setting that serves to keep the computation from starting until you let go of the mouse button after moving the slider to the desired position.