Ejemplo de uso de ProgressDialog

<?xml version="1.0" encoding="utf-8"?>
<RelativeLayout xmlns:android="http://schemas.android.com/apk/res/android"
    xmlns:tools="http://schemas.android.com/tools"
    android:layout_width="match_parent"
    android:layout_height="match_parent"
    android:paddingBottom="@dimen/activity_vertical_margin"
    android:paddingLeft="@dimen/activity_horizontal_margin"
    android:paddingRight="@dimen/activity_horizontal_margin"
    android:paddingTop="@dimen/activity_vertical_margin"
    tools:context="org.example.ventanadeprogreso.MainActivity">

    <Button
    android:id="@+id/button"
    android:layout_width="match_parent"
    android:layout_height="wrap_content"
    android:text="Mostrar barra de progreso" />

</RelativeLayout>

package org.example.ventanadeprogreso;

import android.app.ProgressDialog;
import android.os.Handler;
import android.support.v7.app.AppCompatActivity;
import android.os.Bundle;
import android.view.View;
import android.widget.Button;

public class MainActivity extends AppCompatActivity {

    private ProgressDialog barProgressDialog;
    private Handler updateBarHandler;
    private Button button;

    @Override
    protected void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        setContentView(R.layout.activity_main);

        button = (Button) findViewById(R.id.button);
        updateBarHandler = new Handler();

        button.setOnClickListener(
                new View.OnClickListener() {
                    public void onClick(View view) {
                        barraDeProgreso(view);
                    }
                });
    }

    /**
     * Barra de progreso
     * */
    public void barraDeProgreso(View view){
        barProgressDialog = new ProgressDialog(MainActivity.this);
        barProgressDialog.setTitle("Procesando");
        barProgressDialog.setMessage("Por favor espere ...");
        barProgressDialog.setProgressStyle(barProgressDialog.STYLE_HORIZONTAL);
        barProgressDialog.setProgress(0);
        barProgressDialog.setMax(10);
        barProgressDialog.show();

        new Thread(new Runnable(){
            @Override
            public void run(){
                for(int i = 0; i<=barProgressDialog.getMax();i++){
                    //tarea a realizar
                    trabajando();
                    //actualiza barra de progreso
                    updateBarHandler.post(new Runnable() {
                        public void run(){
                            barProgressDialog.incrementProgressBy(1);
                        }

                    });
                }
                barProgressDialog.dismiss();
            }
        }).start();
    }

    /**
     * Emula una tarea que dura X tiempo
     * */
    private void trabajando(){
        try{
            Thread.sleep((int) Math.floor(Math.random()*(900)+100));
        }catch(Exception ex){

        }

    }

}