Embedded Windows Media Video Progress Bar

I have a webpage that displays an embedded .wmv file and plays it in Media Player.

That all works fine, but my boss wants a way of showing a progress bar to let users know how much of the video has been downloaded. At the moment the player will just sit waiting for the video to download and then plays it automatically, but the user doesnt know anything is happening.

I've seen with Quicktime and some Media Player files that the Seek bar will act as a download progress bar on some video's and would like to implement something like this.

Is this sort of thing only available to MMS servers (which we dont have)? If its not possible to do this is there another way around the problem?

Cheers