Easy, steal it from Firefox! Download the Firefox source and find the files Throbber.png and Throbber.gif (or do a Google Images search). Throbber.png is the static icon and Throbber.gif is the animated icon. Pack a gtk.Image with the static icon next to your menubar:

 hbox = gtk.HBox(expand=False)
 hbox.pack_start(menubar)
 self.throbber = gtk.Image()
 self.throbber.set_from_file('image_path/Throbber.png')
 hbox.pack_start(self.throbber, expand=False)

and create the animation:

 self.animation = gtk.gdk.PixbufAnimation('image_path/Throbber.gif')

Then all we need to do to get the throbber throbbing is load this animation into the Image:

 pixbuf = self.throbber.get_pixbuf() # save the Image contents so we can set it back later
 self.throbber.set_from_animation(self.animation)
 ...
 # then later to stop the animation just put the old contents back
 self.throbber.set_from_pixbuf(pixbuf)

Here's an example of using the throbber to show activity while we do some hard work in a thread:

 gobject.threads_init() # called somewhere at the top of your file

 def someActionCallback(self, *args):
     pixbuf = self.throbber.get_pixbuf()
     self.throbber.set_from_animation(self.animation)
     # make sure the throbbing starts now
     while gtk.events_pending():
         gtk.main_iteration()
     def call():
         try:
             # hard working code goes here
         finally: # make sure the throbbing stops whatever else happens
             gobject.idle_add(self.throbber.set_from_pixbuf, pixbuf)
     # start the hard work in a thread
     threading.Thread(target=call).start()

(See section 20 of this FAQ for more on using threads in PyGtk.)