You don't do anything inside of the Get and Transform User Interface. Instead, in VBA, set up your progress bar as usual (with DoEvents). Start the progress bar. To connect to the data source and refresh it, use the following code:
' Activate the worksheet where you load the Get & Transform Table output
' The next line will select cell A2 within that table.
Ken Puls has some other methods if the above is not usable. For example, if you do NOT wish to refresh the data, but only want to see how long it takes to connect, then read this post and the comments: