If no one answers, go Gogoling for an application "spy" tool, which will tell you which messages your program receives. Make a one line app which one launches the browser and spy on that.
Alternatively, what API are you using to launch the browser? Look at it's return value.
Btw, I strongly suspect that you will only get a message when the browser is launched, not every time it loads a new page (or even the first page).
You may not be able to do what you want very easily. A possibility might be to search for the window by title bar, get it's handle, walk its control list until you get to the status bar and check its text in a loop until it is done.
A further possibility, if this is only for yourself, woudl be to get an open source browser which uses the MSIE rendering engine and make a one line change at "the right place in the code" to send a message to your app every time a new page is loaded.