You aren't actually setting the value of the progress bar at any point in the code you have posted.
Additionally this looks like a good case for using SwingWorker
, it will perform the work on a different thread and then call you back with progress. The good thing being those callbacks happen already on the Swing thread.
This SwingWorker
example even includes setting a progress bar:
http://docs.oracle.com/javase/6/docs/api/javax/swing/SwingWorker.html