Threads question

I need to learn about threads and threading. I currently have a process
that is pulling 10 to 12 thousand records from the AS400 and formatting the
data then storing into a SQL server. This process is taking just over one
hour and I would like a progress bar or something to show that it is
actually working and I guess this would be done using threads.

Can somebody give me a link to some good starter information on threads

If it makes a difference, I am using VB .Net.

Thanks,

Brad