OK, so I did a bit more searching and discovered that this question
gets asked about once a week.  Apparently it was my turn to ask it this
week.  ;-)

I neglected to mention in my original post that this all all under .NET
Compact Framework.

Anyway... I figured it all out and now have a nice progress bar
crawling across my display while my worker thread is doing its thing.

For those who may be interested, here's a piece of sample code:

using System;
using System.Drawing;
using System.Collections;
using System.Windows.Forms;
using System.Data;
using System.Threading;
using System.Diagnostics;

namespace Thread_Timer_Callback_Test
{
    public class Form1 : System.Windows.Forms.Form
    {
        private System.Windows.Forms.ProgressBar pbProgress;
        private System.Windows.Forms.Label lblMsg;
        private System.Windows.Forms.MainMenu mainMenu1;
        private System.Windows.Forms.MenuItem menuItem1;
        private TimerCallback handler;
        private delegate void pbUpdateDelegate(Object sender, EventArgs e);
        private System.Threading.Timer timer;
        private System.Windows.Forms.Button btnClickMe;
        private System.Windows.Forms.Button btnStop;
        private System.Windows.Forms.Button btnRestart;
        private int i = 0;

        public Form1()
        {
            InitializeComponent();
            handler = new TimerCallback(TimerHandler);
        }
        protected override void Dispose( bool disposing )
        {
            base.Dispose( disposing );
        }
        private void InitializeComponent()
        {
            this.mainMenu1 = new System.Windows.Forms.MainMenu();
            this.pbProgress = new System.Windows.Forms.ProgressBar();
            this.lblMsg = new System.Windows.Forms.Label();
            this.menuItem1 = new System.Windows.Forms.MenuItem();
            this.btnClickMe = new System.Windows.Forms.Button();
            this.btnStop = new System.Windows.Forms.Button();
            this.btnRestart = new System.Windows.Forms.Button();
            this.mainMenu1.MenuItems.Add(this.menuItem1);
            this.pbProgress.Location = new System.Drawing.Point(8, 56);
            this.pbProgress.Size = new System.Drawing.Size(224, 20);
            this.lblMsg.Location = new System.Drawing.Point(8, 24);
            this.lblMsg.Size = new System.Drawing.Size(224, 20);
            this.lblMsg.Text = "Message appears here";
            this.lblMsg.TextAlign = System.Drawing.ContentAlignment.TopCenter;
            this.menuItem1.Text = "Exit";
            this.menuItem1.Click += new
System.EventHandler(this.menuItem1_Click);
            this.btnClickMe.Location = new System.Drawing.Point(84, 96);
            this.btnClickMe.Text = "Click Me";
            this.btnClickMe.Click += new
System.EventHandler(this.btnClickMe_Click);
            this.btnStop.Location = new System.Drawing.Point(84, 136);
            this.btnStop.Text = "Stop";
            this.btnStop.Click += new System.EventHandler(this.btnStop_Click);
            this.btnRestart.Location = new System.Drawing.Point(84, 176);
            this.btnRestart.Text = "Restart";
            this.btnRestart.Click += new
System.EventHandler(this.btnRestart_Click);
            this.Controls.Add(this.btnRestart);
            this.Controls.Add(this.btnStop);
            this.Controls.Add(this.btnClickMe);
            this.Controls.Add(this.lblMsg);
            this.Controls.Add(this.pbProgress);
            this.Menu = this.mainMenu1;
            this.Text = "Form1";
            this.Load += new System.EventHandler(this.Form1_Load);
        }
        static void Main()
        {
            Application.Run(new Form1());
        }

        private void Form1_Load(object sender, System.EventArgs e)
        {
            timer = new System.Threading.Timer(handler, this.pbProgress, 0,
100);
        }

        private void TimerHandler(object obj)
        {
            pbUpdateDelegate _pbUpdate = new pbUpdateDelegate(pbUpdate);
            ((ProgressBar)obj).Invoke(new EventHandler(_pbUpdate));
        }

        private void pbUpdate(Object sender, EventArgs e)
        {
            if (this.pbProgress.Value == this.pbProgress.Maximum)
                this.pbProgress.Value = this.pbProgress.Minimum;
            else
                this.pbProgress.Value++;
        }

        private void menuItem1_Click(object sender, System.EventArgs e)
        {
            timer.Dispose();
            Application.Exit();
        }

        private void btnClickMe_Click(object sender, System.EventArgs e)
        {
            i++;
            this.lblMsg.Text = "That was click #" + i.ToString();
        }

        private void btnStop_Click(object sender, System.EventArgs e)
        {
            timer.Change(0,0);
        }

        private void btnRestart_Click(object sender, System.EventArgs e)
        {
            timer.Change(0,100);
        }
    }
}