If you simply need to have a progress bar alongside your game you can use the LayoutGameActivity which was added for that purpose. LayoutGameActivity allows you to place the andEngine View into a standard Android layout which is loaded from XML, rather than using its default layout. As mentioned in the article, this is accomplished by overriding getLayoutID() and getRenderSurfaceViewID() in your game LayoutGameActivity class.
For example:
@Override
protected int getLayoutID() {
return R.layout.xmllayoutexample;
}
@Override
protected int getRenderSurfaceViewID() {
return R.id.xmllayoutexample_rendersurfaceview;
}
Code fragment from the linked forum post.