Here we can find a nice tutorial how to create a simple please-wait-animation in Blend. For those who would like to have a look on the XAML code, here is the source of a UserControl:
<UserControl.Triggers>
<EventTrigger RoutedEvent="UserControl.Loaded">
<EventTrigger.Actions>
<BeginStoryboard>
<Storyboard>
<DoubleAnimation Storyboard.TargetName="rotation" Storyboard.TargetProperty="Angle" To="360"
Duration="0:0:1" RepeatBehavior="Forever" />
</Storyboard>
</BeginStoryboard>
</EventTrigger.Actions>
</EventTrigger>
</UserControl.Triggers>
<Viewbox>
<Path Width="100" Height="100" Stretch="Fill" Stroke="DarkSlateGray" StrokeThickness="0.5">
<Path.Fill>
<LinearGradientBrush StartPoint="0,0" EndPoint="0,1">
<GradientStop Color="#90000000" Offset="0" />
<GradientStop Color="#20E0E0E0" Offset="1" />
</LinearGradientBrush>
</Path.Fill>
<Path.RenderTransform>
<RotateTransform x:Name="rotation" Angle="0" CenterX="50" CenterY="50" />
</Path.RenderTransform>
<Path.Data>
<CombinedGeometry GeometryCombineMode="Exclude">
<CombinedGeometry.Geometry1>
<EllipseGeometry RadiusX="1" RadiusY="1" Center="0.5,0.5" />
</CombinedGeometry.Geometry1>
<CombinedGeometry.Geometry2>
<EllipseGeometry RadiusX="0.6" RadiusY="0.6" Center="0.5,0.5" />
</CombinedGeometry.Geometry2>
</CombinedGeometry>
</Path.Data>
</Path>
</Viewbox>