How to show a progress from while loading a long method in c#

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SQL

C#3.5

I want to show a progress from i.e 'Please wait loading...' form while running a method in C#.

I have taken one button in that i have written one method code.when we click on that button then the progress form will open until method has in progress state.

BackgroundWorker bg = new BackgroundWorker();
            bg.DoWork += new DoWorkEventHandler(bg_DoWork);
            bg.RunWorkerCompleted += new RunWorkerCompletedEventHandler(bg_RunWorkerCompleted);
            // Start the worker.
            bg.RunWorkerAsync();
            // Display the loading form.
            popup pp = new popup();
            pp.ShowDialog();

private void bg_DoWork(object sender, DoWorkEventArgs e)
      {
copy();
}

private void bg_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
   {
   object result = e.Result;
   pp.Close();
   }

but it is being shown one error

Cross-thread operation not valid: Control accessed from a thread other than the thread it was created on.