This is a progress dialog fragment. It displays a progress bar, what operation is currently in progress and the estimated time until completion. I tried to set it up so that it was self contained and easy to reuse in other projects, but as I only have one project right now I don't know if I have succeeded.
They way I'm using it is by putting <FragmentRef Id="ProgressDialog"/> in my <Product> and <Show Dialog="Progress" After="CostFinalize"/> in my <UI>. Don't ask me why I picked CostFinalize, I can't remember.
You will need a dialog called Cancel that the cancel button can call or the package will cause an error. You may also need a DefaultUIFont property.
If you want an icon in the upper left corner of the dialog, add <Binary Id="InstallingIco" src="path\\to\\some\\icon.ico"/> to your <UI>. You may have to do this for the dialog to compile, I'm not certain.
I made it by darking Office 2000 and then hacking it up to do what I wanted. It took a long time to get correct since I didn't understand the event system when I started.