// Способ первый
procedure TForm1.Button1Click(Sender: TObject);
begin
  PostMessage(ProgressBar1.Handle, $0409, 0, clGreen);
end;

// Способ второй
uses
  {...,} CommCtrl;

procedure TForm1.Button1Click(Sender: TObject);
begin
  Progressbar1.Brush.Color := clTeal;
  SendMessage(ProgressBar1.Handle, PBM_SETBARCOLOR, 0, clYellow);
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  SetWindowRgn(ProgressBar1.Handle,
               CreateRectRgn(1, 1, ProgressBar1.Width-1,
               ProgressBar1.Height-1), True);
end;

// Для горизонтального
procedure TForm1.ProgressBar1MouseDown(Sender: TObject;
  Button: TMouseButton; Shift: TShiftState; X, Y: Integer);
var
  val: Int64;
begin
  val := Round(X * (ProgressBar1.Max - ProgressBar1.Min) / ProgressBar1.Width) + ProgressBar1.Min;
end;

// Для вертикального
procedure TForm1.ProgressBar1MouseDown(Sender: TObject;
  Button: TMouseButton; Shift: TShiftState; X, Y: Integer);
var
  val: Int64;
begin
  val := ProgressBar1.Max - Round(Y * (ProgressBar1.Max - ProgressBar1.Min) / ProgressBar1.Height);
end;

// Форма должна иметь манифест

type
  TForm1 = class(TForm)
    Button1: TButton;
    ProgressBar1: TProgressBar;
    Button2: TButton;
    procedure Button1Click(Sender: TObject);
    procedure Button2Click(Sender: TObject);
  private
    { Private declarations }
  public
    { Public declarations }
  end;

{...}

const
  PBS_MARQUEE = $08;
  PBM_SETMARQUEE = WM_USER + 10;

{...}

implementation

{...}

procedure TForm1.Button1Click(Sender: TObject);
var
  FSpeed: Integer;
begin
  FSpeed := 10;
  SetWindowLong(ProgressBar1.Handle, GWL_STYLE,
                GetWindowLong(ProgressBar1.Handle, GWL_STYLE) or
                PBS_MARQUEE);
  // Включить
  SendMessage(ProgressBar1.Handle, PBM_SETMARQUEE, 1, FSpeed);
end;

procedure TForm1.Button2Click(Sender: TObject);
begin
  // Выключить
  SendMessage(ProgressBar1.Handle, PBM_SETMARQUEE, 0, 0);
end;

// Для горизонтального
procedure TForm1.ProgressBar1MouseDown(Sender: TObject;
  Button: TMouseButton; Shift: TShiftState; X, Y: Integer);
begin
  ProgressBar1.Position :=
    Round(X * (ProgressBar1.Max - ProgressBar1.Min) / ProgressBar1.Width) + ProgressBar1.Min;
end;

// Для вертикального
procedure TForm1.ProgressBar1MouseDown(Sender: TObject;
  Button: TMouseButton; Shift: TShiftState; X, Y: Integer);
begin
  ProgressBar1.Position :=
    ProgressBar1.Max - Round(Y * (ProgressBar1.Max - ProgressBar1.Min) / ProgressBar1.Height);
end;