How can I implement a welcome screen for 5 seconds giving information like Loading application ... + some application infos...while the main page loads in background.
I think it is acceptable to have a 'loading ...' page in some cases - for example, after a user to a business application logs in (think TurboTax online ... it says something like 'establishing a secure connection', which is probably not exactly true, but loading interface stuff). Showing the page every time an anonymous user goes to your site is probably not the best idea.
Take a look at jQuery BlockUI. It is flexible and can do what you are talking about.