BackgroundWorker

Imports System.Threading

Public Class Form1

    Private Sub btnaceptar_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btnaceptar.Click

        If Not bgw1.IsBusy = True Then

            bgw1.RunWorkerAsync()

        End If

    End Sub

    Private Sub btncancelar_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btncancelar.Click

        If bgw1.WorkerSupportsCancellation = True Then

            bgw1.CancelAsync()

        End If

    End Sub

    Private Sub bgw1_DoWork(ByVal sender As System.Object, ByVal e As System.ComponentModel.DoWorkEventArgs) Handles bgw1.DoWork

        While True

            If bgw1.CancellationPending = True Then

                e.Cancel = True

                Exit While

            Else

                MessageBox.Show("hola")

            End If

            Thread.Sleep(1000)

        End While

    End Sub

    Private Sub bgw1_RunWorkerCompleted(ByVal sender As System.Object, ByVal e As System.ComponentModel.RunWorkerCompletedEventArgs) Handles bgw1.RunWorkerCompleted

        If e.Cancelled = True Then

            MessageBox.Show("Cancelado!")

        ElseIf e.Error IsNot Nothing Then

            MessageBox.Show(e.Error.Message)

        Else

            MessageBox.Show("Fin!")

        End If

    End Sub

End Class

Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        Control.CheckForIllegalCrossThreadCalls = False
    End Sub

fuente