Add this below your GridView in the XML.
<LinearLayout
    android:id="@+id/linlaProgressBar"
    android:layout_width="fill_parent"
    android:layout_height="wrap_content"
    android:gravity="center"
    android:orientation="horizontal" >
    <ProgressBar
        style="@style/Spinner"
        android:layout_width="wrap_content"
        android:layout_height="wrap_content"
        android:padding="2dp" />
</LinearLayout>
And in your Activity, where you are loading the data (assuming, it is an AsyncTask), in your onPreExecute() show it:
@Override
protected void onPreExecute() {
    // SHOW THE BOTTOM PROGRESS BAR (SPINNER) WHILE LOADING MORE PHOTOS
    linlaProgressBar.setVisibility(View.VISIBLE);
}
And in the onPostExecute(), hide it:
@Override
protected void onPostExecute() {
    // SHOW THE BOTTOM PROGRESS BAR (SPINNER) WHILE LOADING MORE PHOTOS
    linlaProgressBar.setVisibility(View.GONE);
}
If you are not using an AsyncTask, then set the visibility to View.VISIBLE at the start of the method where you start downloading the data and set it to View.GONE either after or just before you set the Adapter.
EDIT: Adding additional info.
Couple of things.
- You are downloading data off the Internet for which, I would recommend switching to AsycnTaskinstead of using a conventional() Method.
- Check out my answer a few days ago on a similar question here: https://stackoverflow.com/a/13265776/450534
In that answer, you will find a complete solution that will suit your exact needs. Well, almost entirely anyway. You may have to make a few modifications and adapt to a few things yourself. But by and large, it will answer all your questions. I use it in my apps and they function as you say, the Google Play loading text at the bottom. And it really is complete. :-)