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        private void backgroundWorker1_DoWork(object sender, DoWorkEventArgs e)
        {
            // Der Worker wird später benötigt    
            // BackgroundWorker worker = sender as BackgroundWorker;

            //  Den Dateiabruf vorbereiten. 
            HttpWebRequest request = (HttpWebRequest)WebRequest.Create(remotefile);
            request.Method = "GET";
            HttpWebResponse hwrs = (HttpWebResponse)request.GetResponse();
            FileStream fs = new FileStream(localfile, FileMode.Append, FileAccess.Write);
            Stream input = hwrs.GetResponseStream();

            //  Berechne die Dateigrößen und den Abschnitt 
            int counter = 0;
            int buffer;
            int fileLength = (int)hwrs.ContentLength;
            
            while (true)
            {
                    // Hier download starten
                    buffer = input.ReadByte();
                    fs.WriteByte((byte)buffer);

                    // wenn Datei eingelesen, Schleife beenden
                    if (buffer == -1)
                    break;

                    //  Das Ereignis 'ProgressChanged' auslösen -> Bytes zählen
                    counter++;
                    this.backgroundWorker1.ReportProgress(counter * 100 / fileLength);
                }
            fs.Close();
            hwrs.Close();
         }
        
        // Dieser event handler updatet die progressbar
        private void backgroundWorker1_ProgressChanged(object sender, ProgressChangedEventArgs e)
        {
            if (progressBar1.Value == 0)
            {
                Text = String.Format("Download {0} bytes", (int)e.UserState);
            }  
            progressBar1.Value = e.ProgressPercentage;
        }                    

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Das Event hast du ja zugewiesen hoffe ich. ;-)                    

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        private void InitializeBackgoundWorker()
        {
      /*      backgroundWorker1.DoWork += 
                new DoWorkEventHandler(backgroundWorker1_DoWork); */
            backgroundWorker1.RunWorkerCompleted += 
                new RunWorkerCompletedEventHandler(backgroundWorker1_RunWorkerCompleted);
            backgroundWorker1.ProgressChanged += 
                new ProgressChangedEventHandler(backgroundWorker1_ProgressChanged);
        }