I am trying to implement a waiting dialog which is displayed to the user until a request is finished.
From what I 've seen CAknWarningNote is the way to go but I am not sure how to use this class.
Could anyone give me an example showing how this could be done?
CAknWarningNote is not the way to go. CAknWaitDialog is. See the API documentation or aknwaitdialog.h for usage. At least the IAPConnect example (available at the downloads section) contains some example code.