Following shows an example that starts 2 workers, sets the cursor when
both have exited, and demonstrates jumping back to the UI thread to
perform the actual UI update (you can't touch the UI from the worker
thread):

using System;
using System.ComponentModel;
using System.Threading;
using System.Windows.Forms;
static class Program
{
   static void Main()
   {
       Application.Run(new MyForm());
   }
}
class MyForm : Form
{
   BackgroundWorker worker1, worker2;
   public MyForm() { InitializeComponent(); }
   private int busyCount = 0;
   private void BeginBusy()
   {
       busyCount++;
       if (busyCount > 0) this.Cursor = Cursors.WaitCursor;
   }
   private void EndBusy()
   {
       busyCount--;
       if (busyCount <= 0) this.Cursor = Cursors.Default;
   }
   private void InitializeComponent()
   {
       worker1 = new BackgroundWorker();
       worker1.DoWork += new DoWorkEventHandler(worker1_DoWork);
       worker2 = new BackgroundWorker();
       worker2.DoWork += new DoWorkEventHandler(worker2_DoWork);
   }

   void worker2_DoWork(object sender, DoWorkEventArgs e)
   {
       Invoke((MethodInvoker)BeginBusy);
       Thread.Sleep(5000);
       Invoke((MethodInvoker)delegate
       {
           // update UI
           Text += "; worker 2 complete";
           EndBusy();
       });
   }

   void worker1_DoWork(object sender, DoWorkEventArgs e)
   {
       Invoke((MethodInvoker)BeginBusy);
       Thread.Sleep(9000);
       Invoke((MethodInvoker) delegate {
           // update UI
           Text += "; worker 1 complete";
           EndBusy();
       });
   }
   protected override void OnLoad(EventArgs e)
   {
       base.OnLoad(e);
       worker1.RunWorkerAsync();
       worker2.RunWorkerAsync();
   }
}

Actually my last post was unnecessarily complex - you don't really
need BackgroundWorker in this case...

using System;
using System.ComponentModel;
using System.Threading;
using System.Windows.Forms;
static class Program
{
   static void Main()
   {
       Application.Run(new MyForm());
   }
}
class MyForm : Form
{
   private int busyCount = 0;
   private void BeginBusy()
   {
       busyCount++;
       if (busyCount > 0) this.Cursor = Cursors.WaitCursor;
   }
   private void EndBusy()
   {
       busyCount--;
       if (busyCount <= 0) this.Cursor = Cursors.Default;
   }

   void worker2_DoWork(object state)
   {
       Invoke((MethodInvoker)BeginBusy);
       Thread.Sleep(5000);
       Invoke((MethodInvoker)delegate
       {
           // update UI
           Text += "; worker 2 complete";
           EndBusy();
       });
   }

   void worker1_DoWork(object state)
   {
       Invoke((MethodInvoker)BeginBusy);
       Thread.Sleep(9000);
       Invoke((MethodInvoker) delegate {
           // update UI
           Text += "; worker 1 complete";
           EndBusy();
       });
   }
   protected override void OnLoad(EventArgs e)
   {
       base.OnLoad(e);
       ThreadPool.QueueUserWorkItem(worker1_DoWork);
       ThreadPool.QueueUserWorkItem(worker2_DoWork);
   }
}