Loading status display

It's good that you prefer threading instead of asynchronous APIs (however, you could combine them).

There could be few different approaches.

In my experience most robust approach is this:
1) You should avoid creating and cleaning up a thread over and over on each task (like a button click).
2) Create just one thread per Web site you work with. If you want to work with N different sites -- N threads.
3) Created all threads from the very beginning and start them when your GUI is shown.
4) Keep your threads from idle run using event wait handle in each, can be created with auto-reset (you can use different approached; with manual reset option you will need to reset manually).
5) Have shared data representing a task with each thread, provide thread safety with Critical Section.
6) When you want to set a new task for a thread, fill in task data (see the above item) and set thread's event handle -- it will make thread running.
7) When next task is done by the thread, it needs to notify GUI; it could be notified indirectly if data goes to the Web browser control -- it has event notification when the page is loaded -- supply an event handler. Ultimately, you GUI should respond with status display.
8) Finally, you may want to work with a queue of tasks (I'm not sure adequate for your application), then you need a queue with synchronization.

Many implementation detail depends on what library you're using, especially for GUI (you did not share this information). So, if you need more detail, first provide more detail on your code -- I'll answer if I can.