You can create the progress bar in your WM_INITDIALOG handler for your dialog using CreateWindowEx, an example of which can be found on [shameless plug]my wee humble website[/shameless plug].
If you want to create the control as part of your dialog resource script then use the CONTROL resource definition statement to define it; you will still have to load in the COMCTL32.DLL with InitCommonControlsEx in your WM_INITDIALOG handler (for example) in order for it to work. Something like (within the definition of your dialogbox resource), where IDC_PROGBAR is the short int id of your progressbar:
CONTROL IDC_PROGBAR, PROGRESS_CLASS, 0, 0, 400, 200, WS_CHILD|WS_VISIBLE
CONTROL text, id, class, style, x, y, width, height, extended style
You should check on msdn for the exact syntax as this is from memory.
In any event, when using the MinGW compiler you should, in any program using common controls, #define _WIN32_IE 0x0400.
For an example of how to use your created progressbar, here's one of Novacain's excellent and succint explanations:
Hope that helps.