Describes how to catch msi progress...

CatchMsiProgress.cs

// from https://www.codeproject.com/Articles/5773/Wrapping-the-Windows-Installer-2-0-API
IntPtr parent = IntPtr.Zero;
MsiInstallUILevel oldLevel = 
  MsiInterop.MsiSetInternalUI(MsiInstallUILevel.None | 
  MsiInstallUILevel.SourceResOnly, ref parent);
MsiInstallUIHandler   oldHandler = null;

try
{
   oldHandler = 
     MsiInterop.MsiSetExternalUI(new 
     MsiInstallUIHandler(_OnExternalUI), 
     MsiInstallLogMode.ExternalUI, IntPtr.Zero);

   Application.DoEvents();

   MsiError ret = 
     MsiInterop.MsiInstallProduct(/*  path to .msi  */, 
     /*   command line args   */);

   if (ret != MsiError.Success)
      throw new 
      ApplicationException(string.Format("Failed to install -- {0}", ret));
}
catch (Exception e)
{
   Debug.WriteLine("EXCEPTION -- " + e.ToString());
   //   do something meaningful
}
finally
{
   if (oldHandler != null)
      MsiInterop.MsiSetExternalUI(oldHandler, 
        MsiInstallLogMode.None, IntPtr.Zero);

   MsiInterop.MsiSetInternalUI(oldLevel, ref parent);
}