WebClient.DownloadProgressChanged never gets called

I added an event handler to the WebClient's DownloadProgressChanged event, but it never seems to fire. The file successfully downloads, but without having its progress updated.

public class DownloadFile
{
    private File file = null;

    public DownloadFile(File file)
    {
        this.file = file;
    }

    public void startDownloadThread()
    {
        Console.WriteLine("Starting Download : "+file.URL);

        var t = new Thread(() => DownloadThread(file));
        t.Start();
    }

    public Action<string> action_error_downloadFailed = Console.WriteLine;
    private void DownloadThread(File file) //Unnecessary argument but whatever ;D
    {
        try
        {
            string url = file.URL;
            string savepath = file.DestinationDir + "\\" + file.Filename;

            WebClient_B client = new WebClient_B();
            client.Proxy = null; //default to no proxy
            client.DownloadProgressChanged += new DownloadProgressChangedEventHandler(client_DownloadProgressChanged);
            client.DownloadFile(url, savepath);

            Console.WriteLine("Download finished :" + file.Filename);
        }
        catch (Exception ex)
        {
            if (action_error_downloadFailed != null)
                action_error_downloadFailed("Download failed :"+ex.Message);
        }
    }

    private void client_DownloadProgressChanged(object sender, DownloadProgressChangedEventArgs e)
    {
        try
        {
            if (file.TotalSize == 0)
                file.TotalSize = (int)e.TotalBytesToReceive;
            file.CurrentSize = (int)e.BytesReceived;

            Form_DownloadManager.rebuildQueue();

            Console.WriteLine("{0}    downloaded {1} of {2} bytes. {3} % complete...",
            (string)e.UserState,
            e.BytesReceived,
            e.TotalBytesToReceive,
            e.ProgressPercentage);
        }
        catch (Exception ex) { Console.WriteLine("client_DownloadPro