I know this question was asked a long time ago, but I'd like to know the answer too. I'm working on a nine-page long application and it'd be nice if people could know what page they were on at the very least, jump around from page to page without losing data at best.
Scratch the second part of that--I just saw the "tabbed navigation" request a few topics below this one. I'm still interested in knowing about some sort of progress bar.
On the bottom (or top) of each page put in a new question with the text simply saying "Page 1 of 5". Then go to advanced and click "This is a calculated field" and then press the "Lock" checkbox.
If the form has a variable number of pages then you can look into defining some variables and incrementing the page number as required.