ProgressMonitor progressMonitor = new ProgressMonitor(frame, "", "", 0, 100);
This works fine for me, but now I want to change the title of this progress monitor. Currently its "Progress...".
You can set the title of the dialog window through the UIManager:
String title = "Foobar";
UIManager.put("ProgressMonitor.progressText", title);
ProgressMonitor progressMonitor = new ProgressMonitor(frame, "", "", 0, 100);
...