It's easier just to add a Statusbar panel, and overlay a standard progress bar on top of it.

If you're feeling really clever you could even dynamically adjust the size of the progress bar to fit the panel at runtime. The end user would be none the wiser.

I'm not aware of any way you can create a progress bar WITHIN a StatusBar. But like you said - Explorer does it so it must be possible.

You might have to dive into the realms of WinAPI to achieve what you want...