The BlueZone ActiveX control is a legacy control that was developed before .NET.  It has functionality that will hook into the container window’s message processing to intercept messages.  Messages received are passed back to .NET, where it considers certain messages processed in this manner to be an illegal thread operation.  To stop this thread warning from occurring in .NET, set the form’s CheckForIllegalCrossThreadCalls property to False when initializing the form.

Public Class Form1
    Public Sub New()
        ' This call is required by the Windows Form Designer.
        CheckForIllegalCrossThreadCalls = False
        InitializeComponent()

        ' Add any initialization after the InitializeComponent() call.

    End Sub
End Classs