This is generally referred to as an Indeterminate Progress Bar or Indeterminate Progress Dialog.
Combine this with a Thread and a Handler to get exactly what you want. There are a number of examples on how to do this via Google or right here on SO. I would highly recommend spending the time to learn how to use this combination of classes to perform a task like this. It is incredibly useful across many types of applications and will give you a great insight into how Threads and Handlers can work together.
I'll get you started on how this works:
The loading event starts the dialog:
//maybe in onCreate
showDialog(MY_LOADING_DIALOG);
fooThread = new FooThread(handler);
fooThread.start();
Now the thread does the work:
private class FooThread extends Thread {
Handler mHandler;
FooThread(Handler h) {
mHandler = h;
}
public void run() {
//Do all my work here....you might need a loop for this
Message msg = mHandler.obtainMessage();
Bundle b = new Bundle();
b.putInt("state", 1);
msg.setData(b);
mHandler.sendMessage(msg);
}
}
Finally get the state back from the thread when it is complete:
final Handler handler = new Handler() {
public void handleMessage(Message msg) {
int state = msg.getData().getInt("state");
if (state == 1){
dismissDialog(MY_LOADING_DIALOG);
removeDialog(MY_LOADING_DIALOG);
}
}
};