calling a delegate in a another thread (compact .NET)

Me again.... second time I type this - the post did not work the first
time...

Similar question as last time, but another problem:
I am running a CE.Net Application and I want to show a small
borderless dialog which shows an animation, that shows, that the
application is still doing something. So far it works until I want to
close the dialog. The dialog has a delegate that I want to invoke,
which will close it. But I run into a System.Argument Exception with
additional Information 'ArgumentExcept ion' if I want to invoke the
delegate.

Here is what I am trying to do:
--------------------------------------------------
namespace MyNamespace
{
public delegate void CloseDialogDele gate();

public class MyDialog : System.Windows. Forms.Form
{
public CloseDialogDele gate m_CloseDialog;
public MyDialog()
{
this.m_CloseDia log = new CloseDialogDele gate(CloseDialo g);
...
}
...
private void CloseDialog()
{
this.Close();
}
}

public class MainForm : System.Windows. Forms.Form
{
private MyDialog m_MyDialog;
private Thread m_MyDialogThrea d;
...
private void MyDialogThreadF unc()
{
Application.Run (this.m_MyDialo g = new MyDialog());
}
private void OpenMyDialog()
{
this.m_MyDialog Thread = new Thread(new
ThreadStart(MyD ialogThreadFunc ));
this.m_MyDialog Thread.Start();
}
private void CloseMyDialog()
{
// here happens the System.Argument Exception
this.m_MyDialog .Invoke(this.m_ MyDialog.m_Clos eDialog);
}
...
private void DoSomeWork()
{
this.OpenMyDial og();
// Do some work, including excessive
// UI stuff for this form
...
this.CloseMyDia log();
}
}
}
-----------------------------------------------------------

I am confused... I do not even pass arguments to the other thread, the
delegate has no arguments and CF.Net does not support an Invoke with
arguments...

What happens here?
Alexander