You are creating an AsyncTask, which doInBackground() method RUNS IN BACKGROUND. In there, you don't do anything, but start a new thread... Now this thread does the work, but your AsyncTask finishes, because it has nothing to do after starting the other thread... So, your ProgressDialog is shown for some milliseconds, then your AsyncTask finishes and the ProgressDialog is hidden again. But the thread that is doing the work is still running, only your AsyncTask has finished.
Solution : Either use an AsyncTask OR use a thread.