Here's how my current approach looks like:

// Somewhere in a UI class
// Called when a button called "Start" clicked
MyWindow::OnStartClicked(Event &sender)
{
  _thread = new boost::thread(boost::bind(&MyWindow::WorkToDo, this));
}

MyWindow::WorkToDo()
{
  for(int i = 1; i < 10000000; i++)
  {
    int percentage = (int)((float)i / 100000000.f);
    _progressBar->SetValue(percentage);
    _statusText->SetText("Working... %d%%", percentage);
    printf("Pretend to do something useful...\n");
  }
}

// Called on every frame
MyWindow::OnUpdate()
{
  if(_thread != 0 && _thread->timed_join(boost::posix_time::seconds(0))
  {
    _progressBar->SetValue(100);
    _statusText->SetText("Completed!");
    delete _thread;
    _thread = 0;
  }
}

But I'm afraid this is far from safe since I keep getting unhandled exception at the end of the program execution.

I basically want to separate a heavy task into another thread without blocking the GUI part.