Make sure that your user account has Administrator privileges and that User Account Control is disabled in your operating system. To do this, go to Start -> Control Panel -> User Accounts and Family Safety -> User Accounts -> Change User Account Control settings. Move the slider to the lowest position ("Never notify") and click OK.
Now, try launching Castles 2 by right-clicking its shortcut and selecting "Run as Administrator" and check if the problem persists, but don't use the savegame files you currently have. Try starting a new game, create a new savegame, load it and see if the progress bar issue is still there.