Normally, when you download an app directly to your iPad it shows the app's icon and a little bar graph at the bottom with, first of all 'Loading' and then 'Installing' and, as things proceed, the bar graph moves from left to right. If it's still saying 'Loading' then it's not completed that yet. If the app is large - say a game with lots of graphics - it can take a while, possibly even an hour or more, depending on the speed of your broadband connection. Watch to see if the bar graph is moving at all....
Tim