Xp dismissing the dialog before it’s really doen could indeed be a problem. If your’re backing up to a removable drive at the end of the day (like I tend to), the you might be unplugging your USB drive while data is still copying.
In my programs, I tend to use a progress bar with a pessimizing time estimate. If the progress is 90%, mulitply the calculated remaining time by 1.05 and show that to the user. If the progress is 80%, multiply by 1.075 and show that to the user.
File copy speed also differs if you’re copying to the same physical hard drive, or a different one.