A quick way is to use a picturebox and set an animated gif to it. We can make use of the Navigating and Navigated events to show/hide the picturebox as shown below.
private void webBrowser1_Navigating(object sender, WebBrowserNavigatingEventArgs e)
pictureBox1.Visible = true;
private void webBrowser1_Navigated(object sender, WebBrowserNavigatedEventArgs e)
pictureBox1.Visible = false;
This would show the animated image when you start navigation and would be invisble when the page has been downloaded.