Runnable example

import wx

class MainFrame(wx.Frame):
    def __init__(self, parent):
        wx.Frame.__init__(self, parent, -1, 'Runnable example')

        btn = wx.Button(self, -1, 'Show example')
        self.Bind(wx.EVT_BUTTON, self.on_button, btn)

        hsizer = wx.BoxSizer(wx.HORIZONTAL)
        vsizer = wx.BoxSizer(wx.VERTICAL)

        hsizer.Add(btn, flag=wx.ALIGN_CENTER)
        vsizer.Add(hsizer, proportion=1, flag=wx.ALIGN_CENTER)

        self.SetSizer(vsizer)

    def on_button(self, event):
        # Show the progress dialog.
        pdlg = self.show_loading()

        # Close the progress dialog and show an error message.
        pdlg.Destroy()

        wx.MessageBox('There was an error\n\nError information...', 'Error',
                      wx.OK | wx.ICON_ERROR, self)

    def show_loading(self):
        style = wx.PD_APP_MODAL | wx.PD_ELAPSED_TIME | wx.PD_REMAINING_TIME
        dialog = wx.ProgressDialog(
            'Saving file', 'Your document is being saved\n\nPlease wait',
            parent=self, style=style
        )

        dialog.Pulse()

        return dialog

class App(wx.App):
    def OnInit(self):
        self.frame = MainFrame(None)

        self.SetTopWindow(self.frame)

        self.frame.Show(True)

        return True

if __name__ == '__main__':
    app = App()
    app.MainLoop()