I've needed this and after some research I came up with this (jQuery needed):
First, right after the <body> tag add this:
<div id="loading">
<img id="loading-image" src="images/ajax-loader.gif" alt="Loading..." />
</div>
Then add the style class for the div and image to your CSS:
#loading {
width: 100%;
height: 100%;
top: 0;
left: 0;
position: fixed;
display: block;
opacity: 0.7;
background-color: #fff;
z-index: 99;
text-align: center;
}
#loading-image {
position: absolute;
top: 100px;
left: 240px;
z-index: 100;
}
Then, add this javascript to your page (preferably at the end of your page, before your closing </body> tag, of course):
<script>
$(window).load(function() {
$('#loading').hide();
});
</script>
Finally, adjust the position of the loading image and the background-colour of the loading div with the style class.
This is it, should work just fine. But of course you have to have an ajax-loader.gif somewhere. Freebies here. (Right-click > Save Image As...)