private void button1_Click(object sender, EventArgs e)
{
PROGRESS_BAR.Minimum = 0;
PROGRESS_BAR.Maximum = 100;
PROGRESS_BAR.Value = 0;
All of your UI interaction, including callbacks, property sets, and method calls, must be on the same thread.
One of those callbacks can start another thread (or many threads) but they cannot directly update the UI. The way to handle the updates are through data properties. My processing thread would update a progress status property. This is throne read by the UI thread which has a timer for regular (100ms) updates of the progress bar.
If you do this, you will need a lock on any objects which are used to communicate e status updates (eg. Strings).