Tim Heuer has a great article on storing and playing media on Windows Phone 7 and takes you through storing a file using local storage. He even using “wacky” cool progress bar from Jeff Wilcox and a modifed content control…

You’ll want to walk through the code on this one…

http://timheuer.com/blog/archive/2010/08/16/download-and-store-media-for-playback-in-windows-phone-7-using-mediastreamsource.aspx

http://www.jeff.wilcox.name/2010/08/performanceprogressbar/