The progress bar really wants you to set a maximum. It sounds like you don't have one, so you can't.
In that case, all you can do is show some sort of activity to the user so they know that something is going on. If you look at what Windows does during file copies -- it displays an AVI of a file floating over to a folder, over and over. When it finishes, the whole dialog goes away, and never really says "I'm done". The absence of the dialog is confirmation of the task being complete.
Chip H.
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