Hi,
I am afraid the DataGridView control doesn't supportdisplayingProgressBar controls in its DataGridViewCells as normal TextBox or ComboBox controls. You can host a UserControl in the DataGridView whereas the UserControl contains a ProgressBar control inside. However, the UserControl is only displayed when a DataGridViewCell is in its edit mode. These UserControls are not always displayed and there is only one UserControl displayed in the DataGridView each time.
You may get some help from this article: How to: Host Controls in Windows Forms DataGridView Cells
Another option is to override the DataGridView.Paint method to do the drawing job by yourself.
Talk about progress report and multithreading concept. You may be interested in reading at this document:
BackgroundWorker Component Overview
Regards,
Jacob