CMyProgressBar has a member m_thDownload.

void CMyProgressBar::DoDataExchange(CDataExchange* pDX)
{
    m_thDownload = std::thread(funDownload);
}

void funDownloadAndInstall() {
    funDownload();
    funInstall();
}

m_thDownload = std::thread(funDownloadAndInstall);

m_thDownload = std::thread([]() {
    funDownload();
    funInstall();
});