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.

Good stuff. Thanks again.

Gregory

By the way, the example in the documentation for SynchronousUpdating is not correct since it uses Pause[6] in the Manipulate example. However,

In[6]:= Options[$FrontEnd, DynamicEvaluationTimeout]

Out[6]= {DynamicEvaluationTimeout -> 6.}

So the example in the documentation for SynchronousUpdating does not show the issue. A better example would be

Manipulate[Pause[7]; x, {x, 0, 1}]

I submitted a documentation bug report for this...