For that Just Drag Drop your Update Progress Control and write following code
<asp:UpdateProgress ID="UpdateProgress1" runat="server">
<ProgressTemplate>
<div id="Progress">Please wait ......</div>
<div id="bgDiv"></div>
</ProgressTemplate>
</asp:UpdateProgress>
Define the following style on head section
<style>
#bgDiv {
position:absolute;
top:0px;
bottom:0px;
left:0px;
right:0px;
overflow:hidden;
padding:0;
margin:0;
background-color:black;
filter:alpha(opacity=50);
opacity:0.5;
z-index:500;
}
#Progress
{
position: absolute;
background-color:Red;
width: 300px;
z-index: 600;
}