I do have try catch blocks in the two main procedures that get called to do
the executing and spawning of threads, I'm just wondering where else I could
put them?  Should I somehow overload the paint method to do this?

How is this a bug in the datagrid? Most likely the problem is that the fact
that Ben is updating the DataTable that the DataGrid is bound to and
therefore manipulating the DataGrid (albeit indirectly) from the background
thread since changing the DataTable will cause the grid's bindingmanager to
be raise notifications (ListChanged, etc.) to its listeners which includes
the datagrid and these notifications will occur on the background thread
since that is what he is manipulating the datatable from. I think the real
answer is to not manipulate the datatable that the datagrid is bound to from
the background thread; instead, either manipulate a copy or update a
different datatable and upon completion, marshal a call onto the ui thread
(using the datagrid's or some other control's Invoke/BeginInvoke method) and
replace or merge the changes into the datatable that the datagrid is bound
to.