So you want to change the message your UpdateProgress control displays in response to certain events on the page?  I really had to dig deep on google to find what I was looking for.  Some powerpoint presentation shed the light:  You have to do it with clientscript. 

<script language="javascript">

// tell the page you want your custom BeginRequest function to run whenever a postback happens

var manager = Sys.WebForms.PageRequestManager.getInstance();
manager.add_beginRequest(BeginRequest);

function BeginRequest(sender, args) {
var postBackElement = args.get_postBackElement();

// use the client ID of the server control initiating the postbacl

// i have it hardcoded but you could do <%=yourbutton.clientID%> within the javascript

if (postBackElement.id == 'ctl00_CPH1_yourbutton') {
$get('ctl00_CPH1_progmsg').innerHTML = "<center><font face=arial>Please Wait. We\'re doing whatever clicking yourbutton does.</font><BR><BR><img hspace=10 align=absmiddle src='/images/busy.gif' alt='Sorting...' /></center>"
}
else
{
$get('ctl00_CPH1_progmsg').innerHTML = "<center><font face=arial>Please Wait. This is the default message.</font><BR><BR><img hspace=10 align=absmiddle src='/images/busy.gif' alt='Searching...' /></center>"
}
}
</script>

Then, you'll need a label in your updateprogress ProgressTemplate, that corresponds to the label you're setting the innerHTML for:

<ProgressTemplate>
<asp:Label ID="progmsg" runat="server"></asp:Label>
</ProgressTemplate>
</asp:UpdateProgress>