BackgroundWorker and Cross-thread operation not valid

I have the backgroundworker and cross-thread know issue.. I read a lot of material about the problem in some forums but I still stuck.

I build IO project that contain win form shows the user details about copy\paste files (such as how much items remaining, time, progress bar, etc.)

[I send for IO constructor 3 fields: ActionType _act(to Copy \ Delete),List<String[]> sources,String _target)]

I get the follow error just when I delete files (I success to copy but not to delete, really strange…):

"An unhandled exception of type 'System.InvalidOperationException' occurred in System.Windows.Forms.dll

Additional information: Cross-thread operation not valid: Control 'IO' accessed from a thread other than the thread it was created on."

I'm not call any control from DoWork event handler:

private void backgroundWorker1_DoWork(object sender, DoWorkEventArgs e)
{
	// Copy
	if (act == ActionType.Copy) copyFiles(sender, e);		// > Work Perfect :)

	// Delete
	if (act == ActionType.Delete) deleteFiles(sender, e);	// > Doesn't working, fail on pb_CopyDeleteTime.Value = e.ProgressPercentage; in ProgressChanged event
	/* I also try it instead */
	//if (act == ActionType.Delete)
	//BeginInvoke((MethodInvoker)delegate
	//{											// After debugging I found this block not happened 
	//    deleteFiles(sender, e);
	//});
}

I update my GUI in ProgressChanged event:

private void backgroundWorker1_ProgressChanged(object sender, ProgressChangedEventArgs e)
{
	pb_CopyDeleteTime.Value = e.ProgressPercentage;             // I get the error here if I not using BeginInoke method
	// ... code ...
}

I also give the user option to close the form (and cancel the copy \ paste operation) like this:

private void IO_FormClosing(object sender, FormClosingEventArgs e)
{
	// if the user cancel the operation by click on the close form ('X')
	lock (_lock)
	{
		// If the list is not null and has workers
		if (backgroundWorker1 != null)
		{
			// If the worker is busy - cancel it
			if (backgroundWorker1.IsBusy)
			{
				backgroundWorker1.CancelAsync();
				e.Cancel = true;
				return;
			}
		}
	}
}

When the operation finish the form close automatically:

private void backgroundWorker1_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
{
	if (e.Error != null)
		MessageBox.Show("Error occur while performing the action", "Error",
							MessageBoxButtons.OK, MessageBoxIcon.Error);
	this.Close();   // I GET THE ERROR HERE, if I use BeginInvoke method and nothing delete
}

As I write in the comments I get the error on this.Close, in RunWorkerCompleted event -> Although I called BeginInvoke method, my deleteFiles function not performed.

or on pb_CopyDeleteTime.Value = e.ProgressPercentage in ProgressChanged event -> I get the error on starting…

Maybe, someone know why?

Thank you!