How about a small form with a progress bar on it?

Or use this custom status bar which hosts a progress bar in it:

VB Code:
  1. #Region "Imports"
  2. Imports System.ComponentModel
  3. #End Region
  4. <ToolboxBitmap(GetType(ProgressStatusBar))> Public Class ProgressStatusBar : Inherits StatusBar
  5.     Private _progressBar As System.Windows.Forms.ProgressBar
  6.     Private _progressPosition As Integer = -1
  7. #Region "Instantiation"
  8.     Public Sub New()
  9.         'instantiate the progress bar
  10.         _progressBar = New ProgressBar
  11.         'don't allow it to display yet
  12.         _progressBar.Hide()
  13.         'add to the controls collection of the status bar
  14.         Controls.Add(ProgressBar)
  15.     End Sub
  16. #End Region
  17. #Region "Property Procedures"
  18.     <Description("Gets or sets the position of the progress bar."), Category("Appearence")> _
  19.     Public Property ProgressPosition() As Integer
  20.         Get
  21.             Return _progressPosition
  22.         End Get
  23.         Set(ByVal Value As Integer)
  24.             'check to see if a valid value has been passed
  25.             If Value > PanelCount - 1 Then
  26.                 Throw New ArgumentOutOfRangeException(ProgressPosition, Value, "Enter a value that is within the bounds of the panel count.")
  27.                 Exit Property
  28.             End If
  29.             Dim panel As StatusBarPanel
  30.             _progressPosition = Value
  31.             'reset all the panels to text
  32.             Try
  33.                 For Each panel In Panels
  34.                     panel.Style = StatusBarPanelStyle.Text
  35.                 Next
  36.             Finally
  37.                 panel = Nothing
  38.             End Try
  39.             'set the property of the selected panel to owner drawn
  40.             Panels(_progressPosition).Style = StatusBarPanelStyle.OwnerDraw
  41.         End Set
  42.     End Property
  43.  
  44.     <Description("Gets the progress bar object."), Browsable(False)> _
  45.     Public ReadOnly Property ProgressBar() As System.windows.forms.ProgressBar
  46.         Get
  47.             'returns the progress bar as an object allowing its properties to be set as normal
  48.             Return _progressBar
  49.         End Get
  50.     End Property
  51.  
  52.     <Browsable(False), Description("Gets the number of panels in the status bar.")> _
  53.     Public ReadOnly Property PanelCount() As Integer
  54.         Get
  55.             Dim panel As StatusBarPanel
  56.             Dim count As Integer = 0
  57.             Try
  58.                 For Each panel In Panels
  59.                     count += 1
  60.                 Next
  61.             Finally
  62.                 panel = Nothing
  63.             End Try
  64.             Return count
  65.         End Get
  66.     End Property
  67. #End Region
  68. #Region "Private Procedures"
  69.     Private Sub Reposition(ByVal sender As Object, ByVal e As StatusBarDrawItemEventArgs) Handles MyBase.DrawItem
  70.         'set the location of the status bar to the x and y of the eventargs
  71.         _progressBar.Location = New Point(e.Bounds.X, e.Bounds.Y)
  72.         'set the size to fill the panel
  73.         _progressBar.Size = New Size(e.Bounds.Width, e.Bounds.Height)
  74.         'display the progress bar
  75.         _progressBar.Show()
  76.     End Sub
  77. #End Region
  78. End Class