Mostrar mensaje mientras se cargan los datos

[astrow25]

Creo que lo he conseguido te pongo como lo he hecho

En el Form_load

BackgroundWorker1.WorkerReportsProgress = True
BackgroundWorker1.RunWorkerAsync()

Private Sub BackgroundWorker1_DoWork(ByVal sender As System.Object, ByVal e As System.ComponentModel.DoWorkEventArgs) Handles BackgroundWorker1.DoWork
'Creamos un bucle y llamamos al método ReportProgress para que
'genere el evento ProgressChanged
For Contador As Integer = 1 To 1000
BackgroundWorker1.ReportProgress(Contador)
Next
End Sub
Private Sub BackgroundWorker1_ProgressChanged(ByVal sender As System.Object, ByVal e As System.ComponentModel.ProgressChangedEventArgs) Handles BackgroundWorker1.ProgressChanged
'Modificamos la propiedad Value del ProgressBar
ProgressBar1.Value = e.ProgressPercentage / 10
End Sub

Private Sub BackgroundWorker1_RunWorkerCompleted(ByVal sender As Object, ByVal e As System.ComponentModel.RunWorkerCompletedEventArgs) Handles BackgroundWorker1.RunWorkerCompleted
'Aquí ponemos el código que queremos que se ejecute cuando se termine
'de ejecutar nuestro componente BackgroundWorker
Datos()
End Sub