How to get SQL Query Stats/ Progress message dynamically using T-SQL command?

In my application I want the show the SQL Query progress. For example, assume a user clicked on a backup button, then I want him to be able to view the progress of the query he made in case the database is too big to restore or backup. At first I tried to do this by assuming how much disk space the database might take before even start backing up and then using that with the copying rate to estimate a time it might take to backup. But unfortunately I failed. Then by luck I found one lovely T-SQL command that show the stats when used in SSMS and it is just using an extra line 'With Stats = [Some integer] e.g. 1, 10, 20, etc' but here is the problem. I cannot find any work through for this to work with Vb.Net aka my application.

I found this awesome query from this link (www.mssqltips.com). If you open the website you can see few examples showing this.

The code to get stats:

Use dbName Backup dbName To Disk='BackupLocation' With STATS = 10

Edit #1:

Adding these lined of code now does showing the InfoMessage I was searching for but still not useful as this shows up only when the full operation is completed. But what I want is to show them dynamically.

Code that worked:

AddHandler con.InfoMessage, New SqlInfoMessageEventHandler(AddressOf OnInfoMessage)



Private Sub OnInfoMessage(ByVal sender As Object, ByVal e As System.Data.SqlClient.SqlInfoMessageEventArgs)
        strInfo.AppendLine(e.Message)
        txtMsg.Text = strInfo.ToString
End Sub

My complete code:

Imports System.Data.Sql
Imports System.Data.SqlClient
Imports System.Text

Public Class BackupForm
    Dim ConnectionString As String = My.Settings.LADBConnectionString
    Dim con As SqlConnection = New SqlConnection(ConnectionString)
    Dim cmd As New SqlCommand()

    Private Sub btnBrowse_Click(sender As Object, e As EventArgs) Handles btnBrowse.Click
        Using OFD As New SaveFileDialog
            With OFD
                .FileName = "Backup " + Now.ToString("dd-MM-yyyy")
                .Filter = "Log Application Backup |*.bak"
                .CheckFileExists = False
                .OverwritePrompt = False
                Select Case .ShowDialog
                    Case DialogResult.OK
                        If .FileName <> "" Then
                            txtBackup.Text = .FileName
                        End If
                End Select
            End With
        End Using
    End Sub

    Private Sub btnBackup_Click(sender As Object, e As EventArgs) Handles btnBackup.Click
        BackgroundWorker1.RunWorkerAsync()
    End Sub
    Dim strInfo As New StringBuilder
    Private Sub OnInfoMessage(ByVal sender As Object, ByVal e As System.Data.SqlClient.SqlInfoMessageEventArgs)
        strInfo.AppendLine(e.Message)
        txtMsg.Text = strInfo.ToString
    End Sub

    Private Sub BackgroundWorker1_DoWork(sender As Object, e As System.ComponentModel.DoWorkEventArgs) Handles BackgroundWorker1.DoWork
        Dim backupQuery As String = $"use LDDB Backup database LDDB to Disk='{txtBackup.Text}' With STATS = 1"
        Try
            con.Open()
            cmd.CommandType = CommandType.Text
            cmd.CommandText = backupQuery
            cmd.Connection = con
            AddHandler con.InfoMessage, New SqlInfoMessageEventHandler(AddressOf OnInfoMessage)
            cmd.ExecuteNonQuery()

        Catch ex As Exception
            MessageBox.Show(ex.Message, "Error", MessageBoxButtons.OK, MessageBoxIcon.Error)
        Finally
            con.Close()
            con.Dispose()
        End Try
    End Sub

    Private Sub BackupForm_Load(sender As Object, e As EventArgs) Handles MyBase.Load
        Control.CheckForIllegalCrossThreadCalls = False
    End Sub
End Class