See the question and my original answer on StackOverflow

BackgroundWorker uses by default a ThreadPool thread, but you can override this behavior. First you need to define a custom SynchronizationContext:

public class MySynchronizationContext : SynchronizationContext
    public override void Post(SendOrPostCallback d, object state)
        Thread t = new Thread(d.Invoke);

And override the default SynchronizationContext, like this, before you use your BackgroundWorker:

   AsyncOperationManager.SynchronizationContext = new MySynchronizationContext();

NOTE: this can have performance effects on the rest of your application, so you might want to restrict the new Post implementation (for example using the state or d parameters).