I don't think there is a way to do this with a standard progress bar control, and unless you want to buy a third party solution you can do the following.
Instead of using the progress bar control, make your own, using two text boxes right next to each other, one very small and one the size of the progress bar you want.
As you program is running you change the dimmentions of the text boxes, you can have a vertical progress bar if you want and the text boxes as you probably know can have all kinds of different background colors.

KO