Dan,

To work your sample the class Program needs to inherit from Control.
Otherwise there is no Invoke method that will marshal the method call.
Delegates has Invoke also, but Control.Invoke and BeginInvoke are the only
methods that marhal the method calls to the UI thread. For some reason the
original poster doesn't want to use Control.Invoke.

BTW .NET 2.0 has BackgroundWorker component that is capable to marshal its
events to the UI thread without the requirements of a control. I've peeked
in the code there, but had no time to get too deep to understand how it
actually does this.

As you can read I know how to solve this problem and that's your answer.

I'm sorry if I have also problems to expose this problem. lol

In fact, don't mind about the main UI thread.
Let's focus on my object: this object when it is instanciated runs inside a
thread. I start a child thread with an object method. An event is raised
inside the child thread, but I want this event to be raised inside its parent
thread (object thread).

internal class TestClass
   {
       public event EventHandler MyEvent;

       public void MyMethod()
       {
           Thread.CurrentThread.Name = "Main";
           Thread child = new Thread(new ThreadStart(ChildMethod));
           child.Start();
      }

       void RaiseEvent( object sender, EventArgs e )
       {
           Console.WriteLine("On thread: " + Thread.CurrentThread.Name);
           if ( MyEvent != null )
               MyEvent( sender, e );
       }

       private void ChildMethod()
       {
       // some job
           RaiseEvent(this, null); //on child thread. I want to raise this
event  on parent Main thread
       // some job
       }
   }

Hope you see what I need.