how to use asychronous calls

Hi all

i have a requirement in my application where in need to call a web service:

1. My client calls my webservice .
2. when i receive a call from my web servcie i need to notify my client that
"Process started".
3. i need to return the Message "Process Started " and in the background i
need to continue the work which the WebService method is intended to do .
4. once i complete the work in the webservice , i need to send a reault back
to my client.

Client -->WS -->Replies a messages to client (Process started)

WS->completes the work and sends a Result --->Client.

must i use asychronus calls ?
must i use multi threading ?
How can i do this ?

Thanks
Senthil

SenthilVel