Yes - you can use an ActiveX control. In VFP if you go Tools -> Options -> Controls you can add the Microsoft Progress Bar Control.

To add it to a form, in your form controls toolbox click the little icon of books next the pointer - you can then select Active X Controls and select the Progress Bar and add it to your form. Properties to set are Min and Max, then update the value property during your process.

Not sure how to get it to show %.

You will need to add the mscomct2.ocx (I think this is the right file - could do with someone verifying this) file to your install package for this to work on other PCs (without VFP installed)