I have seen this progress bar in apps but I don't know what it's called.
How do I set it up and change it intermediate colors.
Maybe the Swipe-to-Refresh is the one you're referring to.
More info at http://developer.android.com/training/swipe/add-swipe-interface.html
If you only want to change the color of the spinner and not the background, you can try -
progressBar.getIndeterminateDrawable().setColorFilter( getResources().getColor(R.color.blue), android.graphics.PorterDuff.Mode.SRC_IN);
Otherwise, to change the background as well, you need to customize your progressbar for this. The tutorial here may help you.