onmouseover you need to give it the 'on' class
onmouseout you need to remove the 'on' class
<a href="#" onlick="changeme(this)" >test</a>
function changeme(this){
this.className = "on";
}
Thats a simple examples of how to set the class when you click an element. If you need help taking that further let me know.
As for a loading Image... why not just preload the images in the background?
Otherwise you could set the div to have a loading message as the content and when the mouse over happens start a function that loads the image and then inserts it into the div.