Also make sure when you compile you include comctl32.lib in the library modules. If your using vc++ you can get to it by pressing Alt+F7.
HWND CreateProgress(HWND hParent, int cx, int cy, int x, int y, DWORD dwStyle, DWORD dwExStyle)
icex.dwSize = sizeof(INITCOMMONCONTROLSEX);
icex.dwICC = ICC_PROGRESS_CLASS;
hwnd=CreateWindowEx(dwExStyle, PROGRESS_CLASS, NULL,
dwStyle | WS_CHILD | WS_VISIBLE, x, y, cx, cy, hParent, NULL, 0, NULL);
If you need more info about any of the control go here Windows Controls
Hope this helps