Nigel,
There might be a better way of doing this, but I saw that your question dated from a while back and since no one has answered you I figured I might as well give in my two cents!
First you need to add the progressbar control. In the tools menu click on Additional Controls, then turn on "Microsoft ProgressBar Control, version x.0". Now you should have the progressbar icon in your toolbox. Add the control to your form and name it MyBar.
Then at precise points in your code, you can add the line:
MyBar.Value = 10
Where the number 10 is the percentage of completion of the progressbar. If your running a loop you can do
MyBar.Value = (MyBar.Value + 10)
...you get the idea!
Hope this helps!
Pascal