InvalidOperationException when invoking Form.Close

Hello everybody. I have a progress form in my application and some times I get the following exception.

System.InvalidOperationException:Invoke or BeginInvoke cannot be called on a control until the window handle has been created.

Actually, I myself never got this exception. It happens seemingly randomly when in the production environment. I cannot reproduce it. Here's the simplified code:

Private Shared MyThread As Thread = Nothing
Private Shared MyProgressForm As ProgressForm = Nothing

Public Shared Sub Start(ByVal Message As String)

    ' If the thread is not already running
    If MyThread Is Nothing Then

        MyThread = New Thread(AddressOf MyThreadSub)
        MyThread.Start()

        ' Wait for the form to show up
        While MyProgressForm Is Nothing OrElse Not MyProgressForm.IsHandleCreated
        End While

        MyProgressForm.Invoke(New System.Action(Of String)(AddressOf SetMessage), Message)

    End If

End Sub

Private Shared Sub MyThreadSub()
    MyProgressForm = New ProgressForm()
    System.Windows.Forms.Application.Run(MyProgressForm)
    'Whenever the form closes, go back to the initial state
    MyProgressForm = Nothing
    MyThread = Nothing
End Sub

Public Shared Sub [Stop]()

   ' If the thread is not over yet
    If MyThread IsNot Nothing Then

        MyProgressForm.Invoke(New Action(AddressOf MyProgressForm.Close))

       ' Wait for the thread to be over
        While MyThread IsNot Nothing
        End While

    End If

End Sub

And I just call it like this:

Progress.Start("Performing operation...")
While ...
    Progress.Update(...)
End While
Progress.Stop()

The exception is always thrown at

MyProgressForm.Invoke(New Action(AddressOf MyProgressForm.Close))

But I don't understand why, because the Start and the Update methods were successful before. And the form cannot be unavailable while the thread is still running, because closing the form also ends the thread.

For now, I'm not looking for another way to make a progress form. My point is to understand why can't this work as it was supposed to.

Any ideas?

Thank you all.