InstallProcessForm.cs
public partial class InstallProcessForm : Form
    {
        private MyInstaller _installer = null;
        private BackgroundWorker _installerBGWorker = new BackgroundWorker();
        internal InstallProcessForm()
        {
            InitializeComponent();

            _installer = new MyInstaller();

            _installerBGWorker.WorkerReportsProgress = true;
            _installerBGWorker.WorkerSupportsCancellation = true;

            _installerBGWorker.DoWork += _installerBGWorker_DoWork;
            _installerBGWorker.RunWorkerCompleted += _installerBGWorker_RunWorkerCompleted;
            _installerBGWorker.ProgressChanged += _installerBGWorker_ProgressChanged;

            this.Shown += InstallProcessForm_Shown;
        }

        private void InstallProcessForm_Shown(object sender, EventArgs e)
        {
            // 当窗口打开后就开始后台的安装
            _installerBGWorker.RunWorkerAsync();
        }

        private void _installerBGWorker_ProgressChanged(object sender, ProgressChangedEventArgs e)
        {
            // 消息通过 e.UserState 传回，并通过label显示在窗口上
            string message = e.UserState.ToString();
            this.label1.Text = message;
            if (message == "正在取消安装 ...")
            {
                this.CancelButton.Enabled = false;
            }
        }

        private void _installerBGWorker_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
        {
            // 安装过程结束
        }

        private void _installerBGWorker_DoWork(object sender, DoWorkEventArgs e)
        {
            BackgroundWorker bgWorker = sender as BackgroundWorker;

            // 开始执行安装方法
            _installer = new MyInstaller();
            string msiFilePath = "xxx.msi"; // msi file path
            _installer.Install(bgWorker, msiFilePath);
        }

        private void CancelButton_Click(object sender, EventArgs e)
        {
            _installer.Canceled = true;
     _installerBGWorker.CancelAsync();
        }
}
MyInstaller.cs
internal class MyInstaller
    {
        private BackgroundWorker _bgWorker = null;

        public bool Canceled { get; set; }

        public void Install(BackgroundWorker bgWorker, string msiFileName)
        {
            _bgWorker = bgWorker;

            NativeMethods.MyMsiInstallUIHandler oldHandler = null;
            try
            {
                string logPath = "test.log";
                NativeMethods.MsiEnableLog(NativeMethods.LogMode.Verbose, logPath, 0u);
                NativeMethods.MsiSetInternalUI(2, IntPtr.Zero);

      oldHandler = NativeMethods.MsiSetExternalUI(new NativeMethods.MyMsiInstallUIHandler(MsiProgressHandler),
                                                NativeMethods.LogMode.ExternalUI,
                                                IntPtr.Zero);
                string param = "ACTION=INSTALL";
                _bgWorker.ReportProgress(0, "正在安装 xxx ...");
                NativeMethods.MsiInstallProduct(msiFileName, param);
            }
            catch(Exception e)
            {
                // todo
            }
            finally
            {
                // 一定要把默认的handler设回去。
                if(oldHandler != null)
                {
                    NativeMethods.MsiSetExternalUI(oldHandler, NativeMethods.LogMode.None, IntPtr.Zero);
                }
            }
        }

        //最重要的就是这个方法了，这里仅演示了如何cancel一个安装，更多详情请参考MSDN文档
        private int MsiProgressHandler(IntPtr context, int messageType, string message)
        {
            if (this.Canceled)
            {
                if (_bgWorker != null)
                {
                    _bgWorker.ReportProgress(0, "正在取消安装 ...");
                }
                // 这个返回值会告诉msi, cancel当前的安装
                return 2;
            }
            return 1;
        }
    }

    internal static class NativeMethods
    {
        [DllImport("msi.dll", CharSet = CharSet.Auto)]
        internal static extern int MsiSetInternalUI(int dwUILevel, IntPtr phWnd);

        [DllImport("msi.dll", CharSet = CharSet.Auto)]
        internal static extern MyMsiInstallUIHandler MsiSetExternalUI([MarshalAs(UnmanagedType.FunctionPtr)] 
MyMsiInstallUIHandler puiHandler,
 NativeMethods.LogMode dwMessageFilter, IntPtr pvContext);

        [DllImport("msi.dll", CharSet = CharSet.Auto)]
        internal static extern uint MsiInstallProduct([MarshalAs(UnmanagedType.LPWStr)] string szPackagePath, 
[MarshalAs(UnmanagedType.LPWStr)]
 string szCommandLine);

        [DllImport("msi.dll", CharSet = CharSet.Auto)]
        internal static extern uint MsiEnableLog(NativeMethods.LogMode dwLogMode, 
[MarshalAs(UnmanagedType.LPWStr)] string szLogFile, 
uint dwLogAttributes);

        internal delegate int MyMsiInstallUIHandler(IntPtr context, int messageType, 
[MarshalAs(UnmanagedType.LPWStr)] string message);

        [Flags]
        internal enum LogMode : uint
        {
            None = 0u,
            Verbose = 4096u,
            ExternalUI = 20239u
        }
    }