Hmya, what you're trying to do is pretty fundamentally incompatible with the Windows programming model. A native Windows program is event driven. Your program is always idle, sitting inside a loop started by Application.Run(), waiting for Windows to tell it that something interesting happened that it should respond to. Paint requests, mouse clicks, timer expirations, stuff like that.
Your program should respond to this and filter what is interesting to you. When you drop a button on a form, you are always interested in the Click event, generated when Windows sends the MouseDown notification message. Your Click event handler runs some kind of custom code that you write. Like updating a status bar message in your case.
Updating the status bar message half a second later doesn't make a whole heckofalot of sense. What exactly happened during those 500 milliseconds that changed the way your program responds to events? You can call the Update() method of the StatusBar so the new message is visible, then call System.Threading.Thread.Sleep(500) to get what you want. You'll get away with it, the "Not Responding" ghost that Windows puts up takes your program going dead for several seconds.
But that doesn't make a lot of sense, nothing happened during that half second, the state of your program didn't change. It couldn't change, it was dead to Windows and not receiving any messages that would allow it to change state.
Well, that's about as far as I can take this. Please update your question and explain why you need to do this. Just in case: if you're contemplating this to fake doing something important for half a second, your user will not be impressed. She'll eventually notice your UI is dead for half a second without anything to show for it.