*sigh* One step forward, five steps back.
As in the words of one forum poster:
BackgroundWorker is pretty much "Threading for Dummies" in that it’s an excellent tool to teach a new programmer how to run work on a second thread and is great for simple tasks; but with it’s simplicity comes the price of flexibility.
If you want to run multiple threads, you really need to use the .Net System.Threading class.
Not in Visual Studio 2008 Express, that’s for sure. 
It’s a VS 2008 Professional option only, and it looks like this: 
You need the “Break all processes when one process breaks” option when you are trying to step though a background process. I want to use background processes as I need to do many file downloads in the background.
And background threads are the only way to do it.
I talk (briefly) about background thread processing in “Sew me a Thread or three.”
The software application I’m writing is taking up most of my time, which why blog posts have been a bit lean around here.