Edit: My answer is wrong, I answered with a different context in mind. However, I'm leaving it because the info could be useful for when you need to show a loading/progress bar.
He is using: http://www.filamentgroup.com/lab/update_automatically_preload_images_from_css_with_jquery/.
However, he is not using its full capabilities (checkout the demo at the above URL). The loading bar is just an animated gif file. I think you can get it at http://ajaxload.info.
Hope that helps. :)