Closing a form that is created in another thread

Hope that helps First off decide whether or not you really need to be using Invoke at all. It is, and has been for a while now, my opinion that Invoke is one of the most overused techniques for causing an action to occur on the UI thread after it has been initiated from a worker thread. An alternative is to create some type of message object in the worker thread describing the action that needs to be done on the UI thread and place it into a shared queue. The UI thread will then poll this queue on some interval using System.Windows.Forms.Timer and cause each action to occur. This has several advantages.
It breaks the tight coupling between the UI and worker threads that Invoke imposes. It puts the responsibility of updating the UI thread on the UI thread where it should belong anyway. The UI thread gets to dictate when and how often the update should take place. There is no risk of the UI message pump being overrun as would be the case with the marshaling techniques initiated by the worker thread. The worker thread does not have to wait for an acknowledgement that the update was performed before proceeding with its next steps (ie. you get more throughput on both the UI and worker threads). It is a lot easier to handle shutdown operations since you can pretty much eliminate all race conditions that would normally be present when requesting worker threads to gracefully terminate.

public class YourForm : Form
{
  private Thread WorkerThread;
  private volatile bool KillThreads = false;

  private void YourForm_Closing(object sender, FormClosingEventArgs args)
  {
    // Do a fast check to see if the worker thread is still running.
    if (!WorkerThread.Join(0))
    {
      args.Cancel = true; // Cancel the shutdown of the form.
      KillThreads = true; // Signal worker thread that it should gracefully shutdown.
      var timer = new System.Timers.Timer();
      timer.AutoReset = false;
      timer.SynchronizingObject = this;
      timer.Interval = 1000;
      timer.Elapsed = 
        (sender, args) =>
        {
          // Do a fast check to see if the worker thread is still running.
          if (WorkerThread.Join(0)) 
          {
            // Reissue the form closing event.
            Close();
          }
          else
          {
            // Keep restarting the timer until the worker thread ends.
            timer.Start();
          }
        };
      timer.Start();
    }
  }    
}

With these it helps GetMessage() never returns WM_QUIT. That message forces it to return 0 instead, designed to terminate your message loop.
Beware of the considerable hazards of using PostThreadMessage(). It should never be used on a thread that also displays windows, like the one you are using. The issue is that it doesn't take a HWND argument. So only your message loop can see the message, it won't be delivered to any window with DispatchMessage(). This goes wrong when a modal message loop is entered, the kind that are outside of your control. Like the modal loop that makes MessageBox work. Or the one that Windows uses to allow the user to resize a window. Or the one that DialogBox() uses. Etcetera. Always use PostMessage(), use your own message number.

this one helps. Do the Background in the progress page
If you need to pass (and return) an object then do so in the Progress ctor

private void click(object sender, RoutedEventArgs e)
{
    Progress progressDialog = new Progress();
    progressDialog.Show();
    if (progressDialog != null) progressDialog = null;
}

namespace BackGroundWorkerShowDialog
{
    /// <summary>
    /// Interaction logic for Progress.xaml
    /// </summary>
    public partial class Progress : Window
    {
        BackgroundWorker bwLoadCSV = new BackgroundWorker();
        public Progress()
        {
            InitializeComponent();
            //assign events to backgroundworkers
            bwLoadCSV.WorkerReportsProgress = true;
            bwLoadCSV.WorkerSupportsCancellation = true;
            bwLoadCSV.DoWork += new DoWorkEventHandler(backgroundWorker1_DoWork);
            bwLoadCSV.ProgressChanged += new ProgressChangedEventHandler(backgroundWorker1_ProgressChanged);
            bwLoadCSV.RunWorkerCompleted += new RunWorkerCompletedEventHandler(backgroundWorker1_RunWorkerCompleted);
            if (bwLoadCSV.IsBusy != true)
            {
                // Start the asynchronous operation.
                bwLoadCSV.RunWorkerAsync();
            }

        }

        private void backgroundWorker1_DoWork(object sender, DoWorkEventArgs e)
        {
            BackgroundWorker worker = sender as BackgroundWorker;
            for (int i = 1; i <= 10; i++)
            {
                if (worker.CancellationPending == true)
                {
                    e.Cancel = true;
                    break;
                }
                else
                {
                    // Perform a time consuming operation and report progress.
                    System.Threading.Thread.Sleep(500);
                    worker.ReportProgress(i * 10);
                }
            }
        }

        private void backgroundWorker1_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
        {

            if (e.Cancelled == true)
            {
                //resultLabel.Text = "Canceled!";
            }
            else if (e.Error != null)
            {
                //resultLabel.Text = "Error: " + e.Error.Message;
            }
            else
            {
                //resultLabel.Text = "Done: " + e.Error.Message;
            }
            this.Close();
        }

        private void backgroundWorker1_ProgressChanged(object sender,
            ProgressChangedEventArgs e)
        {
            this.tbProgress.Text = e.ProgressPercentage.ToString();
        }
    }

}

I think the issue was by ths following , The Java group on facebook.com pointed me to the right direction. The solution is this:
redefine what the close button (X) does on the main GUI.

setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE);   

will help you The FormClosing event handler receives a FormClosingEventArgs argument that contains the property CloseReason, but in your context this is not enough.
Indeed, in both cases (ALT+F4/X-Click or ButtonClick) the argument will contain a CloseReason equal to UserClosing.

private void Button1_Click(object sender, EventArgs e)
{
    this.Tag = "ClosedByUser";
    this.Close();
}

private void LogIn_FormClosing(object sender, FormClosingEventArgs e)
{
    if (this.Tag != null)
    {
        // Button clicked
    }
    else
    {
        // other reasons
        // Dp not call Close here, you are already closing 
        // if you don't set e.Cancel = true;
    }
}