Check this article http://supportforums.blackberry.com/t5/Java-Development/Sample-quot-Please-Wait-quot-screen-part-1/ta-p/493808
This article is intended provide a fully functioning "Please Wait" sample Popup Screen. It consist of 3 Parts, each part with its own sample code. The most relevant sample to you is PleaseWait3.zip which is located in the part 3 (last parT) since it contains progress bar sample code.
When running it, make sure you change the address of the file to be downloaded in the "Test that gives percentage updates" to a valid one since the existing one is invalid (you can use this one for example http://docs.blackberry.com/en/developers/deliverables/18095/BlackBerry_Java_SDK-Development_Guide--1239696-0730090812-001-6.0-US.pdf
).
