type
  TMyThread = class(TThread)
  protected
    procedure Execute; override;
  end;


  TForm1 = class(TForm)
    ProgressBar1: TProgressBar;
    Button1: TButton;
    procedure Button1Click(Sender: TObject);
  private
    { Private declarations }
    FMyThread: TMyThread;
    procedure OnThreadTerminated(Sender: TObject);
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.Button1Click(Sender: TObject);
begin
  if not Assigned(FMyThread) then
  begin
    FMyThread := TMyThread.Create(True);
    FMyThread.FreeOnTerminate := True;
    FMyThread.OnTerminate := OnThreadTerminated;
    ProgressBar1.Style := pbstMarquee;
    ProgressBar1.Visible := True;
    FMyThread.Start;
  end;
end;

{ TMyThread }

procedure TMyThread.Execute;
begin
  inherited;
  //Длительный Open
  Sleep(5000);
end;

procedure TForm1.OnThreadTerminated(Sender: TObject);
begin
  FMyThread := nil;
  ProgressBar1.Visible := False;
end;