WP7 SDK contains an easy-to-use ProgressBar-control. Unfortunately it has some design problems, most glaringly the fact it is UI thread bound. So if your UI is busy working on something, your ProgressBar will stop animating.
Instead of using the default ProgressBar, you should always use the so-called “PerformanceProgressBar”, a class and style combination created by Jeff Wilcox. Getting things started with the PerformanceProgressBar is easy, just follow the good instructions provided by Jeff.