My desktop application freezes while fatching data from external server

Question

I am developing an application which has a feature to fatch the data from SAGE server using its own SAGE APIs. for more information regarding to this API, pls visit http://www.qti.com/kb/article_files/10288/XMLDataStreamDevelopersGuide.pdf now the problem is, when i start fetching data from the server, its started working but the application is freezed until it fetches all the data from the server. actually, this data fetching process is very long coz of bulky data. for ex. for the supplier's list, sage server sends more than 6000 records as response to any request. so I want to show something processbar like thing but because of this freezing problem, i can not display that as whole application becomes unresponsive right after i click the fetch button untill all data fetching is completed. plz suggest me something as soon as possible. Thanks in advance