What is the correct way to deal with procedures that take a “long time” to complete?

private void Form_Load(object sender, EventArgs e)
    {
        BackgroundWorker bw = new BackgroundWorker();
        bw.DoWork += new DoWorkEventHandler(bw_DoWork);
        bw.RunWorkerCompleted += new RunWorkerCompletedEventHandler(bw_RunWorkerCompleted);
        //change UI to reflect we're doing this
        bw.RunWorkerAsync();
    }

    void bw_DoWork(object sender, DoWorkEventArgs e)
    {
        //SQL Work
    }

    void bw_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
    {
        //Let the user know we're done
    }