var loadingPanel = new yuiLoadingPanel();

//loadingPanel.show();
//loadingPanel.show("Processing...");
//loadingPanel.hide();

The user can close the loading box by clicking on the cancel link. If you want to handle this situation, you can subscribe to the cancelEvent:

loadingPanel.cancelEvent.subscribe(function(e, a, o){
  alert('You clicked cancel!');
});

loadingpanel.js:

$D = YAHOO.util.Dom;
$E = YAHOO.util.Event;
var yuiLoadingPanel = function(conf){
    conf = conf == undefined ? new Array() : conf;
    conf.id = conf.id == undefined ? 'yuiLoadingPanel':confi.id;
    conf.header = conf.header == undefined ? 'Loading, please wait...':conf.header;
    conf.width = conf.width == undefined ? '240px':conf.width;
    this.conf = conf;
    this.cancelEvent = new YAHOO.util.CustomEvent("cancelEvent", this);
    this.init();
	
};

yuiLoadingPanel.prototype = {
    init:function(){
        var loadingPanel = new YAHOO.widget.Panel(this.conf.id,{
            width:this.conf.width,
	    fixedcenter:true,
            close:false,
            draggable:false,
            modal:true,
            visible:false
        });
    
       loadingPanel.setBody(this.conf.header + 
               '<img src="http://us.i1.yimg.com/us.yimg.com/i/us/per/gr/gp/rel_interstitial_loading.gif" />');
               loadingPanel.render(document.body);
               $D.addClass(loadingPanel.id, 'tcc_lightboxLoader');
               var cancelLink = document.createElement('a');
               $D.setStyle(cancelLink, 'cursor', 'pointer');
               cancelLink.appendChild(document.createTextNode('Cancel'));
               $E.on(cancelLink, 'click', function(e, o){
       	           o.self.loadingPanel.hide();
       	           o.self.cancelEvent.fire();
               }, {self:this});
               loadingPanel.appendToBody(document.createElement('br'));
               loadingPanel.appendToBody(cancelLink);
               $D.setStyle(loadingPanel.body, 'text-align', 'center');
               $D.addClass(document.body, 'yui-skin-sam');
        this.loadingPanel = loadingPanel;
    },
    show:function(text){
        if(text != undefined){
            this.loadingPanel.setHeader(text);
        }else{
	    this.loadingPanel.setHeader(this.conf.header);
	}
	this.loadingPanel.show();
    },
    hide:function(){
        this.loadingPanel.hide();
    }
};