To be able to 'know' the progress of the process, you will need to implement some sort of milestones that the process changes as it goes along. You will have to implement that logic so that the external process notifies your application of its progress. However, this is not always possible (because, first of all you need access to the code of the external process) or simple to do.
What you can do, is to use a Marquee Progress bar, this will keep an animation going indefinitevely:
Sometimes you can't immediately
determine the length of a long-running
task, or the task might stay stuck at
the same state of completion for a
long time. You can show work without
measurable progress by putting the
progress bar in indeterminate mode. A
progress bar in indeterminate mode
displays animation to indicate that
work is occurring.
You can take a look at this Java tutorial (same place from where I got the above text) for more information.