Well, Apple HIG would make it appear from the top... on the other side, Apple HIG is about editing a document (it's a document-based UI)
On the other side, on flow diagrams, I add such processes as a separate keyscreen (albeit with a special P1, P2, etc numbering, meaning processing, as opposed to KS1, meaning key screen), so in terms of sequential navigation, it would be logical to make it come from the right.
It depends wether:
- the other steps are user navigatable (eg. explicit Next / Back buttons) - then it's not a step, it isn't navigatable
- it's needed to calculate the next step - then it belongs to the next step, which could come in with a loading screen/progress bar first perhaps
- there's only one step of it (eg, it's about saving a document) - then it's not a wizard, but a document, Apple HIG rules kick in, from top.
- is it a bit out of the context (eg. it's done for each step, or it's a parallel activity, like when an OS installer formats disks, install apps acting on user request) - then it's from the top, denoting it comes from a parallel universe
- user data can be collected beforehand - today's installers work this way: they collect all the data they need, then step one last time, and show the progress bar of acting on the full process
Does this help you?