You should update the progressbar in the event-dispatching thread.
See http://java.sun.com/docs/books/tutorial/uiswing/components/progress.html
for more info.

[...]

Please use less exclamation marks and show us more code.

Ok Thomas, so here it comes

I have MyGUI.java :
-------------------
public class MyGUI extends JFrame {

StatusBar statusBar; -> My own status bar, which contains a JProgressBar
Thread runThread;

public MyGUI() {
 statusBar = new StatusBar();

 ...

 stats = new Thread() {
   public void run() {              
    MathOper.progress = statusBar.getProgressBar();
     System.out.println("--- Create matrix ---");
    double [][] matrix = MathOper.setParam(values);
   }
 };

 stats.setPriority(Thread.MIN_PRIORITY);
 stats.start();

 ...

}

...

}

and in MathOper.java :
----------------------

public class MathOper {

 public static JProgressBar progress;

 public static double [][] setParam(int [][] test) {
   // test is a square matrix
   int width  = test.lenghth;
   int height = test[0].length;

   double [][] retValue = new double[width][height]
   progress.setString("setParam method...");
   progress.setValue(0);
   progress.setMaximum(width * height);

   for (int i = 0; i < width; i++) {
     for (int j = 0; j < height; j++) {
        retValue[i][j] = ... -> too long to put here
        progress.setValue((i+1)*(j+1));
     }
   }

   return retValue;
 }
}  

As I pass the progressBar from MyGUI.java -> MathOper.java by
reference, from what I know it's like a pointer to the same space in
memory, so both can update the values, that was what I needed.

I put an animation made with Wink here to see what I mean, on my
computer it's even faster that that:

http://ece.fsa.ucl.ac.be/asimion/problem.htm

Still don't figure out what's the matter.

Thanks,
Ad