Hi thecheen1,
You can do as you suggest: create a HTML-page and put in in the root of the site.
The only problem with that is working on the site in WP will be difficult since the index.html will 'catch all'. So when you want to work on the site you temporarily need to rename index.html to say 0index.html if you want to see the results of your progress in WP; and revert it to index.html after your session....
Another way to have an 'under construction page' and work at the site, is to put the site in a different directory. Develop it there, and move the site to the root after completion.
Checkout http://codex.wordpress.org