If you (don't want/can't) to use the shell then i think you have to create a class of your own.
I thought there is a flying paper avi shipped with VS but i'm not sure.
You can copy the files then with the vfp command and create a progress bar of your own.
Probalby there is a simple progress bar in the solutions example or here on the ut that you can use as base for your class.

Hope this helps you,