Which is the version of the Indesign you are working ? and you OS ?
In Indesign CS5 and later, the Export progress bar will show up in the "Background task" panel which could be found in "Windows>Utilties>Background Task "
It's helpful to check the box to open the PDF when export is complete so you know it's finished. The progress bar, as Manish mentioned, is in the Background tasks panel on CS5 and later, but there is also a little scrolling horizontal lines icon that appears in the menu bar when a background task is working.