Um. You can't really do that as you don't get any "progress" information from the SQL operation - it's a blocking call to ExecuteNonQuery, which means that the function doesn't return until SQL Server has finished the whole operation.
You could display a "Marquee" type progress bar, but unless you move the INSERT code onto a separate thread so it isn't executing on the UI thread (which would block the Marquee from getting any Paint events so your user wouldn't see any change anyway) then nothing useful would happen!
And generally speaking, INSERT is a pretty quick operation - I'd probably just use a "wait" cursor to indicate I'm busy instead.
If you really must show a progress bar, then look at the BackgroundWorker Class (System.ComponentModel) | Microsoft Docs
] to move your code, and a Marquee style ProgressBar Class (System.Windows.Forms) | Microsoft Docs
] - but it's a fair amount of work for very little user benefit in most cases.