Take a look at this link: http://www.youtube.com/watch?v=_qSHBC_Lpao
It is a youtube video that explains how to do it step by step.
If you are interested in another thing, then update your question and add more information.
If what it's shown in the video is what you are interested in, then, please, use google, I've only put
circular progress bar vb.net
in the search field.