Gui, Add, Progress, vlvl -Smooth 0x8 w350 h18 ; PBS_MARQUEE = 0x8
Gui, Show, , Example
SetTimer, Push, 45

Push:
GuiControl, , lvl, 1
Return

GuiClose:
ExitApp

например, во время команды "http.WaitForResponse()" или со старта блока try. 
try 
{
	link := ""
	http := ComObjCreate("WinHTTP.WinHTTPRequest.5.1")
	http.Open("POST", link, False)
	http.SetRequestHeader("Content-Type", "application/x-www-form-urlencoded")
	http.Send()
	http.WaitForResponse()
	time := http.ResponseText
}
catch e
{
	msgbox, No internet connection.
}