Preloader for a website?

Is there a way to use jQuery to have a preloader for a website?

I found this website and it uses mootools to do the preloader (I think..)

I'm just starting out jQuery, so I don't know how to start..

I was thinking about have a div on with a z-index of like 99999 (to make it on top of everything) with the loader image, then once everything loads up, have the div fade out..

Thanks..