Initialization of a new instance of the BackgroundWorker class

When you apply WithEvents to a class (or module) level variable, then you can use the Handles keyword to specify that a method is handling one of the variable's events. 

For example, in the case of your BackgroundWorker variable, worker, you could do this:

Private Sub Worker_ProgressChanged( _

ByVal sender As Object, ByVal e As ProgressChangedEventArgs) _

Handles Worker.ProgressChanged

    Me.progressBar1.Value = e.ProgressPercentage

End Sub

which specifies that worker's ProgressChanged event is being handled by this particular method.

If you hadn't used WithEvents, then you would have had to use AddHandler instead:

AddHandler Worker.ProgressChanged, AddressOf Worker_ProgressChanged