For your convenience I am attaching sample project.
It demonstrates ajaxified RadGrid in MVC project. There are two handlers attached: OnBegin and OnComplete/more info on AjaxOptions Properties/
. Those events are fired whenever you click on RadGrid(page/sort etc.) and you can use them to do your custom loading screen.
In both events you have reference to RadGrid client object.
Please find the attached project and review the code.
the Telerik team