Is this doable?

final DownloadFile file;
new Thread(new Runnable(){
  public  void run(){
    while (anotherFile()) {
      file = new DownloadFile(URL, LOCAL_DIR, nextFile());
    }
  }
}).start();

new Thread(new Runnable(){
  public  void run(){
    lblProgress.setText("Bytes received for "+file.getFileName()+": "+file.getBytesReceived());
  }
}).start();