TIP: Using RunOnceEx

You can use RunOnceEx to execute a command/a sequence of commands and while doing that it will show a progress window

Here is an example installing OpenVPN from C:\SwSetup\OpenVPN

;---
Windows Registry Editor Version 5.00

[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\RunOnceEx]
"TITLE"="Installing Applications"

[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\RunOnceEx\1]
@="OpenVPN 2.1.1"
"1"="C:\\SwSetup\\OpenVPN\\DriverSigning.exe -OFF"
"2"="C:\\SwSetup\\OpenVPN\\openvpn-2.1.1-install.exe /S"
"3"="C:\\SwSetup\\OpenVPN\\DriverSigning.exe -ON"
"4"="sc config openvpnservice start=auto"
;---

Test it by running this command from a command prompt:
rundll32.exe iernonce.dll,RunOnceExProcess