Hi, I have found the following page on Wolfram site:
Machine Learning: The Wolfram Approach
Thus, I'm wondering, how does one create a separate window for the training as shown in this photo which appears in the middle of the above page:
The progress indicator appears inline in the same notebook where the evaluation takes places. Once it is done, it disappears. That's what the page illustrates. There's no separate window.
This feature is only available in relatively recent versions of Mathematica (not sure which, it's there in M11.2 at least). If you don't see it, you might have an older version.