Your going to want to create a worker thread that performs the task and occasionally reports its update to the form thread. If you do all of your work in the UI thread, your UI will be locked and won't update the progress/label correctly.
Before you start the worker thread, calculate the total number of steps you believe the process will take. Start the worker thread. After each unit of work, you Invoke an update method on the UI thread to increment the process.
You'll want to look at the BackgroundWorker class.
If your application will have several of these, I recommend creating a process interface (e.g. IProgressProcess). This interface will contain methods for executing a process and reporting updates. You will create all of your process classes by implementing from this interface. Write a control that contains a progress bar and accepts an IProgressProcess through a constructor or property. It can then use your custom process to execute and move along the progress bar. Then you can have your custom progress control send events when the process is complete or canceled.