Looks like you can't, not directly anyway. Which is rather silly but that's Microsoft for you. The control uses your operating system's visual styles by default and there's no built in option to change it.
That said, it's relatively easy to just make your own. Create a new class and inherit from ProgressBar, then override the OnPaint method and draw it however you like.
You can use the methods available on
ProgressBarRenderer class to assist you if you want a more "standard" style.