It’s a ProgressDialog, with setIndeterminate(true).
From http://developer.android.com/guide/topics/ui/dialogs.html#ProgressDialog
ProgressDialog dialog = ProgressDialog.show(MyActivity.this, "",
"Loading. Please wait...", true);
An indeterminate progress bar doesn’t actually show a bar, it shows a spinning activity circle thing. I’m sure you know what I mean 🙂