Basically, you handle the requestStart method of the RadAjaxPanel / RadAjaxManager which is needed for exporting anyway. Here, you can show a loading panel or other loading graphic, start a timer to check for a cookie from the server and when the cookie is found, you hide any loading graphics. The following example is taken from a control I created that is a wrapper for my RadGrid. My control contains a RadAjaxPanel, a RadAjaxLoadingPanel, and a HiddenField. The hidden field contains the token used between the client and server. The call to $.cookie requires the jquery.cookie plugin located here
On the server you need to do handle the OnExporting event of the RadGrid:
/// Aid in the hiding/showing of a loading panel while the export process is ocurring.
/// hdDownloadToken contains a timestamp (token) of when the export started. This is
/// then passed back in the header of the response from the export engine and accessed
/// via a timer on the client. Once the client detects the token, it hides the loading message.