<script type="text/javascript" src="https://github.com/malsup/blockui/raw/master/jquery.blockUI.js"></script>
    <script type="text/javascript">
        $(document).ajaxStop($.unblockUI);
        $(document).ready(function () {
            $('#lnkBtnPrevious').click(function () {
                $.blockUI();
            });

            $('#lnkBtnContinue').click(function () {
                if (typeof (Page_ClientValidate) == 'function') {
                    Page_ClientValidate();
                }
                if (Page_IsValid) {
                    $.blockUI();
                }

            });
        });
    </script>

http://jquery.malsup.com/block/

This works cross browser. Merely using onclick on a submit button to show a preloader/ please wait dialog doesn't work in IE since it doesn't show images once the page is being unloaded.

Show preloader message when page is unloading

page

JavaScript