I have a "thread" that is basically the same thing you are trying to do though it's in 2005 but should work in 2010 that I worked through with Rudy. If you want to cheat and read that either look it up or I can post it for you. Otherwise just keep at it and eventually you'll understand how it works. From past exp that second method is the best in the long run.
This was my initial question for this thread:
"I'm working on a file backup/transfer project and it now works to the point of the progress bar in the status strip now updates as the files are moved. I would now like to get it do display in a label the file being copied (like you see in a lot of the installers and what not). More of a just for looks thing than any real added functionality. For this do I need to add a second background worker or would I use the same one that I am for the progress bar?"
From your description I'm guessing you are trying to do something similar...