You can use EdenSoft My Logo .I like it very much.
To change the throbber, so it is called, manually you have to extract frames of your avi and create a bitmap.
The animated throbber in the upperright corner can be fully customized by creating a filmstrip bitmap with frames and creating some registry keys. Main image has to have a width of 26 pixels (the small logo as shown on the right) or 38 (the big version). The height must be an even number of times the width. Read somewhere it has to be at least 12 times the width (not sure), so let's say it has to be something like 26 x 312 or 38 x 456. Now you have 12 squares which are the different frames of your animation. For a smooth animation, repeat every frame once. The first and upper frame is shown when IE isn't busy or you're not connected.
Open RegEdit and go to: HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Toolbar. Click on it once, and on the right, add a new string value (click right there). Name it 'BrandBitmap' (without the quotes), or 'SmBrandBitmap' if you made the small one. Then, rightclick on it, choose modify and enter the path to your bitmap. Close and restart.
thnx... i made a film strip bmp of my throbber and edited the registry and it went very well but i saw (and validated it l8er) that making a custom throbber using this method brings the cpu usage of ie way up.. so i removed it.. too bad cuz my throbber was pretty nice