The progress bar is built as table-cells with classes in the stylesheet used to display the appropriate coloring.

eg:
Code:
       <table class="order_steps" cellspacing="0">
            <tr><td class="order_steps_text" id="active_step_text"><img src="includes/templates/custom/images/arrow_checkout.gif" width="24" height="24" alt="" border="0" align=""><br />Shipping Method</td><td class="order_steps_text"><br />Payment Method</td><td class="order_steps_text"><br />Review Order</td><td class="order_steps_text"><br />Order Complete</td>
            </tr>
            <tr class="order_steps_line_2">
                <td class="progressbar_active"></td><td class="progressbar_inactive"></td><td class="progressbar_inactive"></td><td class="progressbar_inactive"></td>
            </tr>
            <tr class="order_steps_line_3">
                <td class="progressbar_active_shadow"></td><td class="progressbar_inactive_shadow"></td><td class="progressbar_inactive_shadow"></td><td class="progressbar_inactive_shadow"></td>
            </tr>
        </table>