Here go two links trying to explain you how things work:
(1) (2)
Now, I will try to explain it as shortly as I can. Most of what happens inside a windows forms application happens in a single thread, usually the same thread Main() runs in. If you open Program.cs, you will see that Main() has a line that looks like the following:
Application.Run(new Form1());
If you debug the application at any moment and examine the call stack, you will see it will trace back to that Run method. This means that a Windows Forms application is in fact a continuous run of the Run method. So, what is Run doing? Run is eating a message queue through which Windows sends messages to it. Run then dispatches those messages to the correct controls, which themselves do things like add text which corresponds to the key being pressed, redraw themselves, etc. Notice that all this happens during and endless loop running alongside a single thread, so weather you are typing or simply moving the window around, loads of those messages are being passed onto the application, which in turn is processing them and reacting accordingly, all in that single thread. Controls can also send messages to themselves through the queue and even you can place messages in the pump via Control.BeginInvoke. One of the things those controls do is to raise events according to what happens. So, if you click a button, the code you've written to handle that click will ultimately and indirectly be run by the Application.Run method.
Now, what is happening with your code is that even though you are changing the visible status of your progress bar to visible and then updating its Value, you are then changing its visibility to false, all in the same method. This means that only after you leave the method, will Application.Run() be able to continue iterating and consuming the message queue, effectively asking the progress bar to update its display. When that happens, you've already left the progress bar's visibility to false, the last thing you did before exiting the method. DoEvents() is a quick and dirty workaround to your problem as it reads the messages in the queue and processes them. I don't really feel comfortable using it as it can bring reentrancy problems.
Using threads is a good solution, but I would recommend using a ThreadPool thread instead of a custom thread in this kind of situation, as I tend to use custom threads only in cases where I have a limited number of long lived threads and I need to control their life cycles. The easiest and most practical way to use threads is to use the BackgroundWorker component, even though I would recommend going through the pains of understanding how to do Windows Forms multithreading with delegates if you want to really understand what is going on.