Techny Arborvitae is good, unless you have deer.

You may get more options if you ask in the midwest or great lakes forums. They would have more experience with your weather.

You didn't supply much information - privacy from what? traffic along the gravel road? Blocking an unsightly view? How much space do you have?

If you've got the space and don't block a traffic sight line or eventually overhead power lines, I'd suggest Black Hills Spruce which are very tolerant and good for zones 2-6. Dense growing, good for windbreaks, nice Christmas tree shape, deer won't go near them. And they're a popular fixture at places like Menards come spring; all sizes and easy on the pocketbook. You won't get instant hedge, but there isn't much out there that will give you that.