BusyIndicator is a mobile-only component. If you're using FlashBuilder, make sure your project is a mobile project. In any case, you have to make sure that mobilecomponents.swc is on the classpath.
If you want to use this component in a non-mobile project, I would think you could simply add the mobilecomponents.swc to the build path, and you should be able to use it. Here's how you can add a library to the build path manually in FlashBuilder.
And here's another article on using mobile components in web projects: http://www.riagora.com/2011/08/flex-mobile-in-the-browser/