if you just need to have some animated thing showing up so that the user knows that something is happening, use an animated GIF.
if you need to have a real progress bar, then use two frames (one that does the actual work and set it to 0px height or width - depending on how you position it) and another that reloads itself every 1 second for example.
you will also need to have a session variable that contains the current progress value (20%, 30% ...)
as the work is being done, the frame doing the work modifies the session variable. this variable is read on every reload by the progress bar frame and displays the bar accordingly.
if you need more help in a certaing direction, post back.
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"two wrongs don't make a right, but three lefts do" - the unknown sage