Paul,
I've seen people describe how to do this, but it's messy and can really slow down the indexing process. Basically, you add a FOR clause with a UDF() [User Defined Function] that updates the progressbar and always returns .T.. Then when it's done indexeing you have to go into the CDX file with a low-level IO routine and "rip out" the FOR clause infomation, so when you actually use the index, it doesn't call your UDF!
If you want to show that the program is actually working, consider opening a plain Window, setting output to it, set the ODOMETER value appropriately, then set TALK ON and do your index. While not as "pretty" as the progress bar, it actually gives more information about what's happening - especially on larger files.
Rick