If you are talking about the Progress Windows client, I would probably use the Windows Common Controls library (COMCTL32.DLL) for this purpose.
If you are talking about a .NET client, IIRC progress bars are a standard widget included with Visual Studio.
If you are talking about a Java client, AFAIK there is no such widget commonly available so I guess you would have to write one.
If you are talking about a Web Browser client, there must be dozens of jQuery plug-ins that do this.
Stack Overflow would be a good place to look for advice on this topic, EXCEPT if you are talking about a Progress client. Nobody there knows what Progress is.
In any case, this kind of thing is usually difficult to do reliably, because fundamentally, you rarely know how long the operation is going to take (eg. how to increment the bar accurately) until after it's done. Even Microsoft can't do this very well, witness how flaky their progress bars usually are.