Rob,
I had a similar issue and would like to know how to create a progress bar as well. What I did in the mean time was to create a small modal form which informs the user that the process may take a few minutes. Then either by using the timer event or the on open property the form can be closed.
And if pictures are the issue with speed, you may want to check their resolution. If they are just for display on the monitor, a resolution of 72 dpi should be plenty and can save considerable amounts of memory if they are 300 dpi or higher. Doing this you may not need the progress bar.
Hope it helps,
/\/\arkxG