Mine

        private ManualResetEvent m_Event = new ManualResetEvent ();
        private event EventHandler<EventArgs> ThreadComplete;
        public void StartThread() {
            ThreadComplete += new EventHandler<EventArgs> (HandleOnThreadComplete);
            ThreadPool.QueueUserWorkItem (new WaitCallback (ThreadRun), ar);
        }

        private void ThreadRun () {
            while(true) {
                // do work, do work
                if(m_Event.WaitOne(0)) {
                    // time to exit
                    OnThreadComplete ();
                    return;
                }
            }
        }

        private void OnThreadComplete() {
            if(ThreadComplete != null) {
                ThreadComplete (this, new EventArgs ());
            }
        }
        private void OnButtonClick() {
            m_Event.Set (); // Tell the thread it's time to exit gracefully;
        }

        void HandleOnThreadComplete (object sender, EventArgs e) {
            this.Invoke (new MethodInvoker (delegate {
                MyWaitDialog.Close ();
            }
            ));
        }