There are some really good examples of what you want to do from the Microsoft related web sites, which include things to lookout for, ways of checking possible errors, and much more. Here are a couple of the better examples that should be of the best help for your current situation:
http://support.microsoft.com/kb/211736
http://msdn.microsoft.com/en-us/library/microsoft.office.tools.excel.controls.progressbar.aspx
And there are some differences in how one goes about this, depending on whether or not you are using VBA Forms to work in or something else. And here are some additional references elsewhere:
http://spreadsheetpage.com/index.php/site/tip/displaying_a_progress_indicator/
http://social.msdn.microsoft.com/Forums/en-US/isvvba/thread/5bb20e99-047d-454d-9f1b-bfb6d9a67c55
http://digiassn.blogspot.com/2006/03/excel-progress-bar-indicator-with-vba.html
http://en.allexperts.com/q/Excel-1059/Progress-bar-code.htm
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