<p>I have a web app that is heavily loaded in javascript and css. First time users log in it takes some time to load once it is downloading js etc. Then the caching will make everything faster.</p>

<p>I want my users to be aware of this loading time. How can I add some code to "show" some loading information while js and css are downloaded?</p>

Sweet mother of mercy, Ricardo, how much Javascript and CSS are involved with this application?
You could, I guess, do something where you load the JS and CSS using an AJAX request and do nothing with them.  This will load your JS and CSS files into the cache.  You could do all of this on a "Loading" page, and redirect to the real page once you've loaded the files.  But IMO you really shouldn't have to do this.  Use
Fiddler
to really see what's going on behind the scenes -- make sure people are really having to wait for their JS/CSS files to come down before doing this optimization.