Using controls in applications shows how to use the OLE Control part on the palette to use a progress bar control. Try using the generated class ProgressBarControl instead of the OLE Control palette part.
Using wrapped classes instead of an OLE Control palette part offers several advantages:
For more ideas on how to use the OLE Support parts, look at the examples loaded as part of the OLE Support feature. To see how OLE parts can be used in Smalltalk applications, load the IBM ST: OLE Samples and examine the classes in OleExamples.