You start by creating a hidden div with a downloadable message:
<div id="loading">loading...</div>
Then in your function:
function load(value) {
$('#loading').show();
$('#page').html(ajax_load);
$("#page").load("page-handler.php", {page:value}, function(){
$('#loading').hide();
});
return false;
}
of course you need to do something if the ajax call failed.