Thanks everyone! I used to a Modeless Dialog Box and it does the trick -- it shows some feedback to the user while allowing the program to continue connecting in the background.

However, I'm having a bit of trouble figuring out how to Cancel connecting... I know how to do something like create a MessageBox when the cancel button is clicked, but there's a problem -- the program sort of freezes while it's trying to create a connection (especially if the user the phone is trying to contact is unavailable). Also, how do I stop a function from outside of it?

I hope I'm making sense, haha. Thanks!