Is there any way to put the Progress bar in the copying thread, Access the forms control from another thread or create a new form control that is on the Form but generated by the Copying Thread?
Yes, there is!

What you need to do is access the controls through a dummy interface that calls Invoke on the control instead of manipulating it directly if it's not on the main thread.
Delegate Sub SetProgressPropertyCallback( ByVal property As String, ByVal value As Integer )
Private Sub SetProgressProperty( ByVal property As String, ByVal value As integer )
If ProgressBar1.InvokeRequired Then
Dim d As New SetProgressPropertyCallback( AddressOf SetProgressProperty )
Me.Invoke( d, New Object() { property, value } )
Else
Select Case property
Case "Value"
ProgressBar1.Value = value
Case "Max"
ProgressBar1.Maximum = value
Case "Min"
ProgressBar1.Minimum = value
End Select
End If
End Sub