We already implemented a loading image for the RadWindow and this functionality will be available in our next release which is scheduled for the end of January.
For the time being I suggest to use a RadAjaxLoadingPanel as you have suggested. My suggestion is to use the panel's client API to show it when the window is shown and then, when the content page is loaded, hide the main page's panel.
For your convenience I prepared a sample demo project for you and attached it to the thread. The slow loading of the content page is simulated by using the Thread.Sleep method. Feel free to extend the demo further in order to meet your needs and let me know how it goes.
All the best,
Svetlina
the Telerik team
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