How to show progress bar using streaming feature in win32?

In my application I have a simple module, I will read files for some process that will take a few seconds. I was thinking about displaying a progress bar (using a workflow) while files are in progress. I created a thread (code shown below) and also I designed a progress dialog. I used the MyThreadFunction below to display the progress bar, but it just shows only once and disappears, I'm not sure how to get it to work. I tried my best to be inspired by the fact that I'm new to the thread. Please help me with these friends.

reading files
void ReadMyFiles()
{

   for(int i = 0; i < fileCount ; fileCount++)
    {   
    CWinThread* myThread = AfxBeginThread((AFX_THREADPROC)MyThreadFunction,NULL);
    tempState = *(checkState + index);
    if(tempCheckState == NOCHECKBOX)
    {
        //my operations
    }
    else//CHECKED or UNCHECKED
    {
        //myoperation
    }
    myThread->PostThreadMessage(WM_QUIT,NULL,NULL);
    }
}

thread functions
UINT MyThreadFunction(LPARAM lparam)
{
    HWND dialogWnd = CreateWindowEx(0,WC_DIALOG,L"Proccessing...",WS_OVERLAPPEDWINDOW|WS_VISIBLE,
                    600,300,280,120,NULL,NULL,NULL,NULL);
    HWND pBarWnd =  CreateWindowEx(NULL,PROGRESS_CLASS,NULL,WS_CHILD|WS_VISIBLE|PBS_MARQUEE,40,20,200,20,
                            dialogWnd,(HMENU)IDD_PROGRESS,NULL,NULL);

    MSG msg;

    PostMessage( pBarWnd, PBM_SETRANGE, 0, MAKELPARAM( 0, 100 ) );
    PostMessage(pBarWnd,PBM_SETPOS,0,0);
    while(PeekMessage(&msg,NULL,NULL,NULL,PM_NOREMOVE))
    {
        if(msg.message == WM_QUIT)
        {
            DestroyWindow(dialogWnd);
            return 1;
        }
        AfxGetThread()->PumpMessage();
        Sleep(40);
    }
    return 1;


}