private void LoadNextObject()
{
loadThread = new Thread(new ThreadStart(LoadObjectTask));
loadThread.Start();
}


private void LoadObjectTask()
{
LoadTmpMesh(m_oFramework.Device, MainApp.InstallPath + "Data/" + meshes[new_mesh] + ".obj", MainApp.InstallPath + "Data/" + meshes[new_mesh] + ".shd");
}


private void  LoadTmpMesh(Device device, string meshFileName, string resultsFileName) 
{

newmeshloading = true;

    prtMeshTmp.LoadMesh(device, meshFileName);

    prtMeshTmp.LoadCompPrtBufferFromFile(resultsFileName);

    prtMeshTmp.ExtractCompressedDataForPrtShader();

    prtMeshTmp.LoadEffects(device, device.DeviceCaps);

newmeshloaded = true;

}

In the main render loop i have something like.

public void SceneMainRender(Device device, double appTime, float elapsedTime){

 if (newmeshloading )
 {
 RenderLoadingScreen(device, appTime, elapsedTime);
 }
 else
 {
 RenderMesh(device, appTime, elapsedTime);
 }

}

private void RenderLoadingScreen(Device device, double appTime, float elapsedTime)
{

bool beginSceneCalled = false;

device.Clear(ClearFlags.ZBuffer | ClearFlags.Target, System.Drawing.Color.FromArgb(0, 200, 200,100), 1.0f, 0);


 device.BeginScene();  // <--- Exception on this line after few sec.
 beginSceneCalled = true;

 // Loadingstuff

 if (beginSceneCalled)
 device.EndScene();


}

    public void LoadEffects( Device device, Caps caps)        {            int numberChannels      = prtCompBuffer.NumberChannels;            int numberClusters      = prtCompBuffer.NumberClusters;            int numberPcaVectors    = prtCompBuffer.NumberPcaVectors;            // The number of vertex consts need by the shader can't exceed the             // amount the HW can support            int numberVConsts = numberClusters * (1 + numberChannels * numberPcaVectors / 4) + 4;            if( numberVConsts > caps.MaxVertexShaderConst )                throw new PrtMeshException("Number of Vertex shader constants cannot exceed the amount the Hardware can support");            if(prtEffect != null)            {                prtEffect.Dispose();                prtEffect = null;            }            if(shIrradEnvMapEffect != null)            {                shIrradEnvMapEffect.Dispose();                shIrradEnvMapEffect = null;            }            if(ndotlEffect != null)            {                ndotlEffect.Dispose();                ndotlEffect = null;            }            Macro[] defines = new Macro[3];            string maximumNumberClusters = string.Format( "{0}", numberClusters );            string maximumNumberPcaVectors = string.Format("{0}", numberPcaVectors );            defines[0].Name = "NumberClusters";            defines[0].Definition = maximumNumberClusters;            defines[1].Name = "NumberPcaVectors";            defines[1].Definition = maximumNumberPcaVectors;            defines[2].Name = String.Empty;            defines[2].Definition = String.Empty;            // Define DEBUG_VS and/or DEBUG_PS to debug vertex and/or pixel shaders with the shader debugger.              // Debugging vertex shaders requires either REF or software vertex processing, and debugging             // pixel shaders requires REF.  The "ShaderFlags.Force{Pixel/Vertex}ShaderSoftwareNoOptimizations" flag improves the debug             // experience in the shader debugger.  It enables source level debugging, prevents instruction             // reordering, prevents dead code elimination, and forces the compiler to compile against the next             // higher available software target, which ensures that the unoptimized shaders do not exceed             // the shader model limitations.  Setting these flags will cause slower rendering since the shaders             // will be unoptimized and forced into software.  See the DirectX documentation for more information             // about using the shader debugger.            ShaderFlags shaderFlags = ShaderFlags.NotCloneable;            #if(DEBUG_VS)                shaderFlags |= ShaderFlags.ForceVertexShaderSoftwareNoOptimizations;            #endif            #if(DEBUG_PS)                shaderFlags |= ShaderFlags.ForcePixelShaderSoftwareNoOptimizations;            #endif                    // Read the effect file            string mediaFileLongName = Utility.FindMediaFile(MainApp.InstallPath + "Data/Effects/PRTColorLights.fx");            // If this fails, there should be debug output            // that the .fx file failed to compile            string errors;            prtEffect = Effect.FromFile(device, mediaFileLongName, defines, null, null, shaderFlags, null, out errors);            if ( (errors != null) && (errors.Length > 0) )                throw new InvalidOperationException(errors);                        // Make sure the technique works on this card            prtEffect.ValidateTechnique("RenderWithPrtColorLights");            mediaFileLongName = Utility.FindMediaFile(MainApp.InstallPath + "Data/Effects/Lightning.fx");            ndotlEffect = Effect.FromFile(device, mediaFileLongName, null, null, shaderFlags, null);            mediaFileLongName = Utility.FindMediaFile(MainApp.InstallPath + "Data/Effects/Mapping.fx");            shIrradEnvMapEffect = Effect.FromFile(device, mediaFileLongName, null, null, shaderFlags, null);        }