How to create a Splash screen with progress bar like AobePS

Question

I am doing a project on C#.Net using Visual Studio 2010, I want to create a loading splash screen just like adobe photoshop where you find all the loading processes shown inside the splash screen itself. Could any one please help me? with how to go about it?

Mine is a big application with minimum 15 forms and lot of database/XML interaction will be happening before the main interface is loaded.

I want the splash screen to display messages based on the background process running like:

Checking Internet connection...
Generating Log file...
Initiating Database Connectivity...
Checking XML file...
Loading XML file...
Loading Module 1...
Loading Module 2...
Loading Main Form...
Please wait...