This is the correct way:
UIActivityIndicatorView *activityIndicator = [[UIActivityIndicatorView alloc]initWithActivityIndicatorStyle:UIActivityIndicatorViewStyleGray];
activityIndicator.center = CGPointMake(self.view.frame.size.width / 2.0, self.view.frame.size.height / 2.0);
[self.view addSubview: activityIndicator];
[activityIndicator startAnimating];
[activityIndicator release];
Setup your autoresizing mask if you support rotation. Cheers!!!