Create a derived progress bar and override the OnPaint method.

protected override void OnPaint(PaintEventArgs pe) {
   base.OnPaint(pe);

   if ( !this.Enabled ) { // Do some overdraw to turn it gray; }
}

option #2

protected override void OnPaint(PaintEventArgs pe) {
   this.ForeColor = this.Enabled ? enabledColor : disabledColor;

   base.OnPaint(pe);
}

A quick note, some of the controls use values stored on pe in order
to render. You may have to update this structure directly rather than
setting the base properties of the control.