First off, which version of VB are you using?
I have VB6 and VB 2005 Express and in 2005 there is just an option for it in the progressbar properties.
For VB6, the only way I know of doing it is by sending a new GWL_STYLE message to the progressbar using the SendMessage API, however it will only work correctly if your VB application has the XP style enabled (using a manifest) and you are using version 6 of comctl32.
MSDN info about progressbar Styles
(it seems down atm, but I was on that page earlier, dunno whats up..)
Hope this helps