It depends how you've implemented your stored procedure. If it's one big SQL Statement, it's going to run in a single batch so you've got no way to raise any events from the server.
However, if your procedure is broken down into numerous SQL statements you could use the InfoMessage approach to raise events throughout your stored procedure execution
http://geekswithblogs.net/mrnat/archive/2004/09/20/11431.aspx[
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This way, your application is notified as different parts of the procedure are executed & you can update your progress bar accordingly.