The PM slider control has a 'ribbon' mode which allows it to be used as a (crude) progress bar.
Otherwise there is no built-in "pure" PM progress bar control, but various different GUI toolkits provide their own.
XWPHelpers is an open source example. It provides lots of additional controls like progress bar, tooltips, etc. However you generally have to compile the library yourself which can be a bit complicated to set up (and IIRC you need the IBM compiler for that).
http://trac.netlabs.org/xwphelpers/browser/branches/branch-1-0The AFCUTIL library originally written for Styler/2 has various controls too, including a 'progress dialog'. This is also open source but unfortunately not really documented (and the source comments are mostly in Italian...)
https://github.com/OS2World/UTIL-WPS-Styler_2/tree/master/utildllThere used to be commercial libraries that had controls like this. I presume IBM's OpenClass library had one. There were others too.