Personally, I find a long series of wizard like windows wearisome. But it depends on the application and my expectations. A casual, once-in-a-while user who has a significant number of alternatives may get frustrated by the 4th or 5th step and exit the process. A frequent user or a user who is accustomed to such wizards in their industry would be far more tolerant.
Some kind of status indicator also conveys both how much work is left to be done and how much has been accomplished. This works in your favor in two ways. First, giving your user a light at the end of the tunnel gives them hope and assurance (as said, depending on the user's expectations). But second, if you have a user who is not accustomed to many-screened wizards, showing them how much they have done gives them a vested interest in finishing (via ye olde "sunk cost" psychology). If you are worried about losing a customer, showing them how much they have already invested can help convince them to stick it out a little longer (although this is not infinite, so getting the number of screens down to a minimum is essential).
Personally, I have always favored the progress bar which uses images or animation rather than boring text, just to keep me engaged and interested. For example, you could use a series of images (preferably of people) acting out what the process would look like in the non-digital world. Then, gray out all but the step you are currently on. It would give the user a connection with the real-world process and help them to justify the time they are spending on the computer. People are notoriously less patient with a computer then they are with real-world processes, so a subtle reminder of how long they'd be willing to wait in the real-world might help to keep them a little longer.
I can't give you any specific studies on the progress bars effect on a user's psychology, but I think if used correctly they can be a very useful and powerful visual cue to connect him or her with the abstracted process which is mostly invisible to them.
EDIT: As a side note, if you are not giving them a way to correct a mistake on a past window, but rather forcing them to restart the entire process, then you are much more likely to lose them over something as simple as a mistyped street name. The ability to go back in a multi-step process is extremely valuable. You may want to consider investing in such a capability.