downloadFiles();

private boolean downloadFiles() {
    showProgressDialog();
    for(int i = 0; i < filesList.size();i++) {
        Thread thread = new Thread(new Runnable() {
            @Override
            public void run() {
                //downloading code
         });
         thread.start();
         thread.run();
    }
    dismissProgressDialog();
    return true;
}

//ProgressDialog progressDialog; I have declared earlier.
private void showProgressDialog() {
    progressDialog = new ProgressDialog(N12ReadScreenActivity.this);
    progressDialog.setProgressStyle(ProgressDialog.STYLE_SPINNER);
    progressDialog.setMessage("Downloading files...");
    progressDialog.show();
}

private void dismissProgressDialog() {
    if(progressDialog != null)
        progressDialog.dismiss();
}

private Handler responseHandler=null;
downloadFiles();

private boolean downloadFiles() {
    showProgressDialog();
    for(int i = 0; i < filesList.size();i++) {
        Thread thread = new Thread(new Runnable() {
            @Override
            public void run() {
                //downloading code
                responseHandler.sendEmptyMessage(0);
         });
         thread.start();
    }

    responseHandler = new Handler()
        {
            public void handleMessage(Message msg)
            {
                super.handleMessage(msg);
                try
                {
                    dismissProgressDialog()
                }
                catch (Exception e)
                {
                    e.printStackTrace();
                }
            }
        };
}