I've been searching and found that a good way to perform background work and update the GUI is using background workers. However, doing this (stupid) little task (counting from 1 to 10000) it doesn't update the label content but prints to the debug! (This is just a spike solution for another project of course...)
Here's the code:
public partial class MainWindow : Window
{
    BackgroundWorker bw = new BackgroundWorker();
    public MainWindow()
    {
        InitializeComponent();
    }
    private void button1_Click(object sender, RoutedEventArgs e)
    {
        bw.DoWork += new DoWorkEventHandler(bw_DoWork);
        bw.ProgressChanged += new ProgressChangedEventHandler(bw_ProgressChanged);
        bw.WorkerReportsProgress = true;
        bw.RunWorkerCompleted += new RunWorkerCompletedEventHandler(bw_RunWorkerCompleted);
        bw.RunWorkerAsync();
    }
    void bw_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
    {
        MessageBox.Show("DONE");
    }
    void bw_ProgressChanged(object sender, ProgressChangedEventArgs e)
    {
        label1.Content = "going here: "+e.ProgressPercentage;
        Debug.WriteLine(e.ProgressPercentage);
    }
    void bw_DoWork(object sender, DoWorkEventArgs e)
    {
        for (int i=0; i < 10000; i++)
        {
            bw.ReportProgress((i*100)/10000);
        }
    }
}
 
     
     
     
    