What? Are you saying that you want to create a web-based progress bar, or that you have created an application that usses the browser component and you want to display a progress bar while that page is loading?
If you mean the first, then you are probably going to be disappointed. There really would be no point in doing that because a web page is not like a program in that respect. What you would be doing is refreshing the progress bar page while your asp code was performing some work. But most asp code would not be so intensive (and if it was, you should consider creating an out-of-process handler for that).
If you mean the latter, then that is quite simple. You can drop the progress bar component onto your form (it is part of the Microsoft windows common controls v6, which you get by right clicking on the component bar and choosing components...)
You can use it during the OnProgressChange method of the webbrowser component. It is a pretty easy control to use it has a MAX value and a VALUE value (which shows the progress). You can display it as smooth or as standard.
One final note, if you are meaning to show a "loading" screen such as you see on some web animations or games, you need to learn Macromedia Flash. That is what those movies and games are made with. And Flash allows you to create a loading screen.
I hope this helps you.
Chi Happens