That is a Progress Bar. You may create this programmatically or by using the widget in XML.
To implement in XML:
<ProgressBar
    android:id="@+id/progress_loader"
    style="?android:attr/progressBarStyle"
    android:layout_width="wrap_content"
    android:layout_height="wrap_content"
    android:layout_centerInParent="true"
    android:visibility="visible" />
To implement in Java (using a Progress Dialog as you asked in comments, but you can also do this with the Progress Bar):
 ProgressDialog nDialog;
 nDialog = new ProgressDialog(Login.this);
 nDialog.setMessage("Loading..");
 nDialog.setTitle("Get Data");
 nDialog.setIndeterminate(false);
 nDialog.setCancelable(true);
 nDialog.show();
Before reaching a next activity, you should dismiss() the Progress Bar.
  nDialog.dismiss();