If you were developing a winforms app it would be reasonably easy to use a delegate on the target form to allow another thread to update the labels... but its a completely different story with webapps. Your threads will be running on the server, and your labels are on your client in the browser, and worse yet your browser has to initiate the interaction with the server (i.e. the server can't say "oh, the threads completed, let me tell the browser!").
In honesty, threads are typically used on webservers more for long running purposes that don't need to return results; i.e. running long database transactions or sending emails.
The best you can do is make some kind of client-side script to check the progress of the threads. If you can have the C# code kicking off each process you could try sharing a variable between client-side JavaScript and your server-side C# so the JavaScript can check periodically for the thread progress... it's a little messy and will take some reading though.
This blog post looks interesting and seems to provide good examples of this, but I haven't read it through and through:
http://iridescence.no/post/Sharing-Variables-Between-JavaScript-and-C.aspx
Good luck!
-w00te
