In your stylesheet:

body.waiting {
  cursor: wait;
}

In your script:

document.body.addClassName('waiting');
new Ajax.Request(uri, {
  onComplete: function() {
    document.body.removeClassName('waiting');
  }
});

You probably want to be careful to make sure it's in the onComplete method and not the onSuccess method. Even better might be to create a setTimeout("document.body.removeClassName('waiting')", 3000), so you don't break the cursor for the rest of the page visit.

You also might prefer the "progress" instead of the "waiting" cursor. For other cursors and their compatibility check out QuirksMode.