Show ProgressBar with windowClosing(WindowEvent we)

Question

I have a JFrame. Frame was executed on EDT. A window closing event is being added to that frame using window adapter. What i need is; There is a background task that delete files generated by the application; and that task starts running when the close button of frame is being clicked. I want to show progressbar for that background tasks?

public class CloseApplication extends WindowAdapter{
@Override
public void windowClosing(WindowEvent we) { 
    new Thread(new Runnable() {
        @Override
        public void run() {
                delete.deleteDirectory(a);      
                delete.deleteDirectory(b);          
                delete.deleteDirectory(c);            
                delete.deleteDirectory(d); 
        }
    }).start();
}

}
I tried to add progress bar to the process but it didn't displayed. I then called it in new thread; still no success. Can you give me any idea that how this can be done?

Either way i use to call it in new thread it dont work. The reason is; background task executes in new thread and windowClosing comes to an end and close the application. If i call it without it; it makes the UI unresponsive.

Thanks in advance.