Here is one of the GIF we tried:
http://jquery.malsup.com/block/busy.gif. We also tried several other GIF, and none of them worked.
With the above mentioned GIF, we tried: 1) leave it on the jquery site and specify the full path to it, and 2) download it to our IIS. Both had the same issue.
I will post the code in next couple of hours, once I am in office.