Does anyone know how to do a loading screen whilst an image is loading?

Ideally I want something like what is used in the light box effect (the circle type thing) when an image is loading:
http://www.jfwebdesign.co.uk/photog/work.php

Anyone know where I should look, or what its called, to find a tutorial on how to do something like this?

Thanks.

Lightbox is Ajax, so you can find things like this:
http://techxplorer.com/2007/10/06/us...ading-message/

Thank you.

Its a shame so many tutorials don't have examples of the end 'product' on them these days...