It sounds like you do not mean a "progress bar" (which implies you are showing how a process is progressing) but "breadcrumbs" which track which pages a user has visited on a site (in order).
Have a look at this article
Breadcrumbs in ASP.NET[
^]
If this is not what you meant then use the "Have a Question or Comment?" link below to let me know and I can delete this solution
[EDIT - moved comment to main solution as it appears to be what the OP is after]
You could just change the cursor to an hourglass e.g.
Hourglass cursor for Web/ASP.NET pages[
^] or you can show a pop-up e.g.
Displaying a Progress Bar (Loading Box) During any Task or Work in Progress using JQuery and CSS[
^] - note that it won't show genuine "progress" (except when complete)