In the below example I have created Progress Dialog with spinning wheel code function. Here I have used ProgressDialog function and I have used onClick method in the MainActivity class. And In Activity_main.xml I have added a button. See the below code it will clearly described to make Progress Dialog with spinning wheel in android.

Step(1)MainActivity class-

public class MainActivity extends Activity {

    @Override
    protected void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        setContentView(R.layout.activity_main);
        Button button = (Button) findViewById(R.id.button1);
        button.setOnClickListener(new View.OnClickListener() {

            @Override
            public void onClick(View v) {
                // TODO Auto-generated method stub
                final ProgressDialog progressdialog = ProgressDialog.show(
                        MainActivity.this, "Please wait",
                        "Loading please wait..", true);
                progressdialog.setCancelable(true);
                new Thread(new Runnable() {
                    @Override
                    public void run() {
                        // TODO Auto-generated method stub
                        try {
                            // put the thread to sleep for 5 seconds
                            Thread.sleep(5000);
                        } catch (Exception e) {
                        }
                        progressdialog.dismiss();
                    }
                }).start();
            }
        });
    }

    @Override
    public boolean onCreateOptionsMenu(Menu menu) {
        getMenuInflater().inflate(R.menu.main, menu);
        return true;
    }

}

Step(2)-Activity_Main.xml

<RelativeLayout xmlns:android="http://schemas.android.com/apk/res/android"
    xmlns:tools="http://schemas.android.com/tools"
    android:layout_width="match_parent"
    android:layout_height="match_parent"
    android:paddingBottom="@dimen/activity_vertical_margin"
    android:paddingLeft="@dimen/activity_horizontal_margin"
    android:paddingRight="@dimen/activity_horizontal_margin"
    android:paddingTop="@dimen/activity_vertical_margin"
    tools:context=".MainActivity" >

    <Button
        android:id="@+id/button1"
        android:layout_width="wrap_content"
        android:layout_height="wrap_content"
        android:layout_alignLeft="@+id/textView1"
        android:layout_alignRight="@+id/textView1"
        android:layout_below="@+id/textView1"
        android:layout_marginTop="80dp"
        android:text=" Click me" />

</RelativeLayout>