There are three types of bars, timer, custom, and Table of contents. Put the progress bar in the root area of your course (e.g. under the Title icon and before any chapter/section/page icon). If you choose Table of contents, and have the "include in table of contents" box checked on your pages, the progress bar will empty/fill as you page through the course.
if you choose "custom" you will need to add in actions to increment decrement the progress bar "tic" mark.
If, as Ben mentioned, open the progress bar properties, and click the Help button, you can read up on all the different modes and operational actions required to make the bar behave correctly.
