From http://stackoverflow.com/questions/28207878/c-sharp-copyfileex-progressroutine-do-we-really-need-to-close-the-destinatio

CopyFileEx.cs

using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.IO;
using System.Linq;
using System.Runtime.InteropServices;
using System.Text;
using System.Threading.Tasks;

namespace ConsoleApp6
{
    // see: https://msdn.microsoft.com/en-us/library/windows/desktop/aa363852(v=vs.85).aspx
    class Program
    {
        private static string destinationFilePath = @"D:\images\copies\ubuntu-14.04.2-desktop-amd64.iso";

        static void Main(string[] args)
        {
            int IsCancelled = 0;
            var source = @"D:\images\ubuntu-14.04.2-desktop-amd64.iso";
            bool result = CopyFileEx(source, destinationFilePath, new CopyProgressRoutine(CopyProgressHandler), IntPtr.Zero, ref IsCancelled, CopyFileFlags.COPY_FILE_OPEN_SOURCE_FOR_WRITE | CopyFileFlags.COPY_FILE_ALLOW_DECRYPTED_DESTINATION);
            if (!result)
            {
                //when ever we get the result as false it means some error occured so get the last win 32 error.
                throw new Win32Exception(Marshal.GetLastWin32Error());
            }
        }

        private static void OnProgressChanged(double percentage)
        {
            Console.WriteLine($"Percentage: {percentage}");
        }

        private static void OnCompleted()
        {
            Console.WriteLine("Completed!");
        }

        private static CopyProgressResult CopyProgressHandler(long total, long transferred, long streamSize, long streamByteTrans, uint dwStreamNumber,
                                                        CopyProgressCallbackReason reason, IntPtr hSourceFile, IntPtr hDestinationFile, IntPtr lpData)
        {
            //when a chunk is finished call the progress changed.
            if (reason == CopyProgressCallbackReason.CALLBACK_CHUNK_FINISHED)
            {
                OnProgressChanged((transferred / (double)total) * 100.0);
            }

            //transfer completed
            if (transferred >= total)
            {

                //if file is read only, remove read-only attribute(case to handle CD drive import)
                FileAttributes attr = File.GetAttributes(destinationFilePath);
                if ((attr & FileAttributes.ReadOnly) == FileAttributes.ReadOnly)
                {
                    attr = attr & ~FileAttributes.ReadOnly;
                    File.SetAttributes(destinationFilePath, attr);
                }

                OnCompleted();
            }

            return CopyProgressResult.PROGRESS_CONTINUE;
        }

        [DllImport("kernel32.dll", SetLastError = true, CharSet = CharSet.Auto)]
        [return: MarshalAs(UnmanagedType.Bool)]
        private static extern bool CopyFileEx(string lpExistingFileName, string lpNewFileName, CopyProgressRoutine lpProgressRoutine, IntPtr lpData, ref Int32 pbCancel, CopyFileFlags dwCopyFlags);

        private delegate CopyProgressResult CopyProgressRoutine(long TotalFileSize, long TotalBytesTransferred, long StreamSize, long StreamBytesTransferred, uint dwStreamNumber, CopyProgressCallbackReason dwCallbackReason,
                                                        IntPtr hSourceFile, IntPtr hDestinationFile, IntPtr lpData);

        private enum CopyProgressResult : uint
        {
            PROGRESS_CONTINUE = 0,
            PROGRESS_CANCEL = 1,
            PROGRESS_STOP = 2,
            PROGRESS_QUIET = 3
        }

        private enum CopyProgressCallbackReason : uint
        {
            CALLBACK_CHUNK_FINISHED = 0x00000000,
            CALLBACK_STREAM_SWITCH = 0x00000001
        }

        [Flags]
        private enum CopyFileFlags : uint
        {
            COPY_FILE_FAIL_IF_EXISTS = 0x00000001,
            COPY_FILE_NO_BUFFERING = 0x00001000,
            COPY_FILE_RESTARTABLE = 0x00000002,
            COPY_FILE_OPEN_SOURCE_FOR_WRITE = 0x00000004,
            COPY_FILE_ALLOW_DECRYPTED_DESTINATION = 0x00000008
        }
    }
}