This can help you (worked for me):
Create a layout in res/layout, like this (named, for example, as progressbar.xml):
<RelativeLayout xmlns:android="http://schemas.android.com/apk/res/android"
xmlns:tools="http://schemas.android.com/tools"
android:layout_width="match_parent"
android:layout_height="match_parent" >
<ProgressBar
android:id="@+id/progressBar"
style="?android:attr/progressBarStyleLarge"
android:layout_width="wrap_content"
android:layout_height="wrap_content"
android:layout_centerHorizontal="true"
android:layout_centerVertical="true" />
</RelativeLayout>
Then, put this code in your Activity or Fragment:
private ProgressDialog progressDialog;
// the first parameter (this) is your activity
// ... but if you need to use this code in a Fragment, use getActivity() instead
progressDialog = ProgressDialog.show(this,null,null);
progressDialog.setContentView(R.layout.progressbar);
So, the ProgressDialog will to show without background and border.