Hi,
This calls an application page called LongRunningOperationProgress.aspx which uses the application.master. You have two options to customise the application.master page
1. Modify the _layouts in a supported manner, please see
http://support.microsoft.com/kb/944105. It involves either backing up the _layouts and modifying the masterpage or creating a copy of the _layouts and changing the virtual directory to use the new folder (my preferred solution).
2. Create a httpmodule which replaces the application.master with your custom one, please see
http://graegert.com/?p=781I prefer the HttpModule, but I am a developer, if you don't have Visual Studio then use option 1.
Hope this helps
Dave
My SharePoint Blog -
http://www.davehunter.co.uk/blog