How to do progress bar in windows application?

You need to do some ground study on showing Progressbar.

Step 1.You can have your own custom progress bar with information(Strings getting updated)
create Progress bar view
Step 2. nest the long running thread inside the Do Work delegate

pd.worker.DoWork += delegate(object s, DoWorkEventArgs args)
               {

Step 3 : Hook up worked completed event

pd.worker.RunWorkerCompleted += delegate(object s, RunWorkerCompletedEventArgs args)
               {
                   //Have your custom logic here
                   pd.AllowClosing = true;
                   pd.Close();
               };

Step 4: run the long running process as background thread and show the dialog

if (!pd.worker.IsBusy)
                {
                    pd.worker.RunWorkerAsync();
                    pd.ShowDialog();
                }

The way I would do it is to cheat, a little.
Create a form with no borders, title bar or anything else, and drop a ProgressBar onto it. Set the ProgressBar.Dock property to Fill. Size the form.
Set ProgressBar.Style to Marquee
Set the Form.StartPosition to CenterParent.
Set the Form.ShowInTaskbar to false.
Add a bool property SuccessfullValidate to the form.
Create a constructor that accepts the value you want to pass to validateuser
Handle the Form.Shown event:

private void frmProgress_Shown(object sender, EventArgs e)
    {
    BackgroundWorker work = new BackgroundWorker();
    work.DoWork += new DoWorkEventHandler(work_DoWork);
    work.RunWorkerCompleted += new RunWorkerCompletedEventHandler(work_RunWorkerCompleted);
    work.RunWorkerAsync();
    }

void work_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
    {
    Close();
    }

void work_DoWork(object sender, DoWorkEventArgs e)
    {
    try
       {
       validateuser( Username, s Password,  SiteURL,  Domain);
       SuccessfullValidate = true;
       }
    catch
       {
        MessageBox.Show("Error:  Unable to connect", "Error", MessageBoxButtons.OK, MessageBoxIcon.Error);
       SuccessfullValidate = false;
       }
    }

Then all you have to do is create an instance, call ShowDialog and check SuccessfullValidate after it returns.

Call the function using

System.Threading.Thread thread = new System.Threading.Thread(new System.Threading.ThreadStart(FunctionName));
                thread.Start();

private void FunctionName()
{
    EnableProgressBar(true);
    //...
    //...
    EnableProgressBar(false);
}

internal delegate void SetProgressBar(bool Value);
        private void EnableProgressBar(bool Value)
        {
            if (this.InvokeRequired)
                this.Invoke(new SetProgressBar(EnableProgressBar), Value);
            else
                ProgressBar1.Visible = Value;
        }

use a timer and set it's interval 1000 (1 sec) and on timer click write

progressbar.Value = progressbar.Value + 1;

before this dont forget to write

progressbar.MaxValue=30;
progressbar.Value=0;