Today I decided to run the Windows Experience Index assessment again since it said it my score needed updating. However, peculiarly when I clicked "Refresh my score" there was no progress dialog shown. You could see the test was actually running, evident from Aero being temporarily disabled etc.
Luckily for me, I had an inkling as to where the progress dialog had gone. A few days earlier, I had decided to enable the option "Lauch folder windows in a separate process" in Folder Options and I suspected that was causing the problem. So I disabled that option, closed all windows then opened system properties to re-run the test. Bingo! Progress dialog was back. And just to check my findings, I enabled that option on a another computer - with the same lack of a progress dialog.
So, in summary, its probably best not to enable that option.