Try:
Updated to work with jQuery 1.8 +
$(document).ajaxStart(function() {
$(document.body).css({'cursor' : 'wait'});
}).ajaxStop(function() {
$(document.body).css({'cursor' : 'default'});
});
Cursor changes on any ajax start and end. That includes .load().
Try out the different cursor styles here:
https://developer.mozilla.org/en-US/docs/Web/CSS/cursor