I am a relatively new c# user so forgive me if I have made some rookie mistakes. I have searched for a workaround to this error but am unable to find a implementation which works for me.
I have a worker thread which is basically looping while boolean isCalibrationActive is true. During the worker thread I have set up a callback to access a label in the main thread and change the text based on the worker thread. On the formclosing event in the main thread i set isCalibrationActive to false which should theoretically stop the loop in the worker thread. I get the error once i close the form. 
Form Closing Event Code:
private void Form2_FormClosing(object sender, FormClosingEventArgs e)
    {
        if (e.CloseReason == CloseReason.UserClosing)
        {
            DialogResult result = MessageBox.Show("The Calibration stage is not yet complete. Are you sure you want to exit?", "Dialog Title", MessageBoxButtons.YesNo);
            if (result == DialogResult.Yes)
            {
                isCalibrationActive = false;
                Thread.Sleep(10000);
                return;
            }
            else
            {
                e.Cancel = true;
            }
        }
        else
        {
            e.Cancel = true;
        }
    }
Worker Thread: EDIT: sorry i left my test code in there earlier.
    private void refreshXY()
    {
        var currentpath = new StringBuilder(255);
        //store current directory and set to dll directory.
        UnsafeNativeMethods.GetDllDirectory(currentpath.Length, currentpath);
        UnsafeNativeMethods.SetDllDirectory( "D:\\UI_still_in_progress\\Debug" );
        UnsafeNativeMethods.LoadLibrary("dllTESTER.dll");
        while (isCalibrationActive)
        {                
            xx = UnsafeNativeMethods.grabx();
            yy = UnsafeNativeMethods.graby();
            if (xx == 0) { xx = 0.001;}
            if (yy == 0) { yy = 0.001;}
            SetXlab(xx.ToString());
            SetYlab(yy.ToString());
        }
        //restore old directory
        UnsafeNativeMethods.SetDllDirectory(currentpath.ToString());
    }
The error occurs during the SetXlab or SetYlab functions which are basically identical. Also the reason i have it in another thread is because it is reading real time data from another application which needs to be consistently updated. This is shown below:
private void SetYlab(string yval)
    {
        // InvokeRequired required compares the thread ID of the
        // calling thread to the thread ID of the creating thread.
        // If these threads are different, it returns true.
        if (this.yshow.InvokeRequired)
        {
            SetTextCallback yD = new SetTextCallback(SetYlab);
            if (isCalibrationActive) { this.Invoke(yD, new object[] { yval }); }
        }
        else
        {
            this.yshow.Text = yval;
        }
    }
Specifically the line this.Invoke(yD, new object[] { yval }); } is what causes the error. Any ideas how I can avoid this?
 
     
    