Back in the days when I was making just some trivial applications I have been using forms caption for monitoring progres for some long processing. The reason why I used this approach was the fact that even when you were rapidly changing Forms caption (updating caption for each step) doing this didn't slow down overal procesing much (barly noticable) and the caption did updated even when the rest of the form was unresponsive becouse procesing was done in main thread.
While this approach works nice on Windows XP and older I strongly disadvise to use this approach on Windows Vista or Windows 7. The reason for this is the fact that Aero desktop don't ofer so quick forms caption drawing as it was on Wondows XP. The reason for this is semitransparent windows that are used in Aero desktop. So changing caption rapidly would lead to considerable slowdowns of you processing, and even worse, it wil cause whole windows GUI to be porly responsive. Having several windows like this can cuse whole windows GUI totaly unresponsive (tried in practice ).
So instead use normal approaches for monitoring procesing progress like ProgressBars etc. Also try to update these ProgressBArs in certain intervals and not for every step.