"An industry leader" is correct. "An" will usually be the correct form when the following word begins with a vowel (a,e,i,o and u), and "a" used when the following word begins with a consonant (the rest of the alphabet). There are, of course, exceptions (as there always are in the English language!)such as "an hotel" where you would expect "a hotel" (though, to be honest, the latter is seen so commonly now that it has probably become correct). Examples, an apple, a book, an idea, a good idea.