Actually, it was Manitoba Premier John Bracken who moved over to the Conservatives and assumed leadership on the condition that Progressive be added to the name.

The majority of former Progressive Party members joined the Liberals and a smaller number went to the CCF. They were very pro-market, pro free trade oriented - unlike the Conservative Party and National Policy. Progressive related to their economic liberalism oriented views - that is - anti-National Policy. Traditional Liberals viewed them as quite radical rather than moderate. 

In W.L. Morton's book on the Progressive Party, he notes that at a provincial level, many Progressives were drawn to the Social Credit movement (and, ultimately, the Reform movement).