IProgressDialog interface exposes methods that provide options for an application to display a progress dialog box.
http://msdn.microsoft.com/en-us/library/windows/desktop/bb775248(v=VS.85).aspx

I am currently working (close to completion) on a FLL that wraps the IProgressDialog interface implemented in Shell32.

Attached Image #1 shows a progress dialog along with a VFP code that originated it.