In order to by a progress bar, you have to create it, either on the current form where you make it visible, or as a separate modal form (meaning cannot interact with parent form while modal form is open). If you want the progress bar to show progress, you really can't with a database call unless you break the inster/delete/etc into separate parts. Basically you have to do the progress bar yourself. Knowing true progress can be diffucult, and this is why many times you will see progress bars that do not appear linear; it is difficult to know what the progress really is. Wish that there was a feedback on SQL calls that would give progress.
ANother thing is that you will want to do the SQL call on a background thread, probably using a BackgroundWorker. Suggest you search the site for sameple code for background workers. Here is one article: BackgroundWorker Threads and Supporting Cancel
Hope this helps.