Something to this effect should be used on all AJAX web pages:

function globalAjaxCursorChange() 
{
  $("html").bind("ajaxStart", function(){
     $(this).addClass('busy');
   }).bind("ajaxStop", function(){
     $(this).removeClass('busy');
   });
}

Along with this CSS:

html.busy, html.busy * {
  cursor: wait !important;
}

The javascript above is jQuery, but I used to do the same type of thing back when I used Prototype.

Developers sometimes go to great lengths to supplement the native behavior of a system with custom ‘busy’ indicators. And that’s great, but don’t forget what’s built-in. Users instinctively know that something’s working when they see the old hourglass/watch cursor.