Take a look at the jqModal jQuery plugin - i use this extensively, for example when performing a single-sign-on with Facebook, i show a pretty "Connecting with Facebook" dialog (background is blanked out). very easy to use, and very extensible.
It's basically a hidden div on the page (absolute positioning), which gets shown and centered (and of course other cool effects, such as fading).
So you have full customization of this div - put an image, put an iframe, put a user control.
And it fully supports AJAX - so you can call your WS on load of this modal dialog to load the contents in.
Of course you could roll your own (old school popup, or overlayed image with appropriate z-index), but no point in re-inventing the wheel - especially when there are bucketloads of great solutions available.