Use MethodInvoker for updating label text in other thread.
private void AggiornaContatore()
{
MethodInvoker inv = delegate
{
this.lblCounter.Text = this.index.ToString();
}
this.Invoke(inv);
}
You are getting the error because your UI thread is holding the label, and since you are trying to update it through another thread you are getting cross thread exception.
You may also see: Threading in Windows Forms