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private List<string> urls = new List<string>();

        private int urls_index = -1;

        private ProgressBar pb = new ProgressBar()
        {
            Width = 291,
            Height = 26,
            Maximum = 100,
            Minimum = 0,
            Location = new Point(12, 41)
        };

        public Object SyncIndex = new Object();

public void DownLoad(object index)
        {
            int indexwhile = (int) index;
            while (work)
            {
                int localIndex;

                lock (SyncIndex)
                {
                    urls_index++;
                    localIndex = urls_index;
                }

                WebClient webClient = new WebClient();
                try
                {
                    webClient.DownloadFile(new Uri(urls[localIndex]), "img/" + localIndex + ".jpg");
                    webClient.DownloadProgressChanged += (s, a) => Invoke(new Action(() => {progressBars[indexwhile].Value = a.ProgressPercentage;})); 
                }
                catch (Exception exception)
                {
                    Invoke(new Action(() =>
                    {
                        listBox2.Items.Add("Ошибка" + listBox1.Items[localIndex]);
                    }));

                    DownLoad(index);
                }

                Invoke(new Action(() =>
                {
                    listBox1.Items[localIndex] =  "Загружен" + listBox1.Items[localIndex];
                    label1.Text = urls.Count.ToString();
                    richTextBox1.Text += localIndex + @".jpg Загружен" + Environment.NewLine;
                }));

                Thread.Sleep(500);

            }
        }


private void button2_Click(object sender, EventArgs e)
        {
            work = true;

            Thread[] threads = new Thread[30];

            

            for (int i = 0; i < 20; i++)
            {
                int mnoj = i + 1;
                progressBars[i] = new ProgressBar()
                {
                    Width = 291,
                    Height = 26,
                    Maximum = 100,
                    Minimum = 0,
                    Location = new Point(12, 41)
                };
                progressBars[i].Location = new Point(12, 41 * mnoj);
                Controls.Add(progressBars[i]);
                threads[i] = new Thread(DownLoad);
                threads[i].IsBackground = true;
                threads[i].Start(i);
            }
        }