Tutorial
You would have to create the html page yourself (or have it created). If you want to collect email addresses, you would include an opt-in box from what ever autoresponder service you are using.
The steps are then:
1) Name that file index.html
2) FTP into your site's main folder (usually /wwwroot or something similar)
3) Copy that index.html to that folder
4) Delete the index.cfm file that is in the /wwwroot folder while you are in there
5) Login to your MemberGate site
6) In the control panel, on the right nav panel under Master Settings Edit Site Descriptions
7) In the "Portal Page Address" box, change it from index.html to anything like comingsoon.html
That last step tells your site to NOT write over the index.html file that you just put in place.
When you are ready to remove the page see this article:
How do I remove the opt in splash page from the front of my site to go live?