It's a control so it needs to be hosted inside a container, such as a form. You can place it in a form at design time or you can do so programatically. Try this:

SET CLASSLIB TO commctrl.vcx ADDITIVE
oForm = CREATEOBJECT("form")
WITH oForm
   .ADDOBJECT( "oProgBar", "progressbar")
   .oProgBar.VISIBLE = .T.
   .SHOW()
   CLEAR
   WITH .oProgBar
      .SetRange( 0, 100)
      FOR m.i = 1 TO 10
         .StepIt()   && default step increment is 10
         WAIT '' TIMEOUT .2
      ENDFOR &&* m.i = 1 TO 10
   ENDWITH
ENDWITH

If you're interested in a ready-to-use progress bar based on this class, you can download my progbar.zip from the UT files section (file ID 737). It's based on Alexander's class library, which is used with his permission.

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>Hi everyone,
>
>I'm trying to implement Progress Bar from this library. I tried this code:
>loTherm=NewObject('progressbar','commctrl.vcx')
>loTherm.visible=.t.
>or loThern.show()
>but nothing appeared on the screen.
>
>Is it possible to instantiate this class from a program or it should be always placed on form in design-time?