You're existing code, even if working, is unneccessarily complex. Sorry, I should have paid more attention to the VB translation. IAC I tested the code below so it should work for you.
Also, if I understand correctly, you want to pass more information to the ProgressChanged callback. The second argument to ProgressChangedEventArgs is an object so you can, for example, pass more complex information using a custom class as shown below.

Imports System.ComponentModel

Public Class Form2

    Public WithEvents bg As BackgroundWorker


    Private Sub bg_DoWork(ByVal sender As Object, ByVal e As DoWorkEventArgs) _
        Handles bg.DoWork
        Dim bw As BackgroundWorker = TryCast(sender, BackgroundWorker)
        Dim pi As New ProgressInfo()
        System.Threading.Thread.Sleep(1000)
        pi.Actionstring = "Update the masterfile"
        pi.ActionNumber = 1
        bw.ReportProgress(10, pi)
        System.Threading.Thread.Sleep(1000)
        pi.Actionstring = "Update the masterfile finish"
        pi.ActionNumber = 2
        bw.ReportProgress(20, pi)
        'Etc
    End Sub

    Private Sub bg_ProgressChanged(ByVal sender As Object, ByVal e As ProgressChangedEventArgs) _
        Handles bg.ProgressChanged
        Dim pi As ProgressInfo = DirectCast(e.UserState, ProgressInfo)
        Label1.Text = pi.Actionstring
        Label2.Text = pi.ActionNumber.ToString()
        ProgressBar1.Value = e.ProgressPercentage
    End Sub


    Private Sub Button1_Click_1(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button1.Click
        bg = New BackgroundWorker()
        bg.WorkerReportsProgress = True
        bg.RunWorkerAsync()
    End Sub
End Class


Public Class ProgressInfo
    Public Property Actionstring() As String
        Get
            Return m_actionstring
        End Get
        Set(ByVal value As String)
            m_actionstring = value
        End Set
    End Property
    Public Property ActionNumber() As Integer
        Get
            Return m_actionNumber
        End Get
        Set(ByVal value As Integer)
            m_actionNumber = value
        End Set
    End Property
    Private m_actionNumber As Integer

    Private m_actionstring As String
End Class