Solution 1:

/**
 * this class performs all the work, shows dialog before the work and dismiss it after
 */
public class ProgressTask extends AsyncTask<String, Void, Boolean> {

    public ProgressTask(ListActivity activity) {
        this.activity = activity;
        dialog = new ProgressDialog(activity);
    }

    /** progress dialog to show user that the backup is processing. */
    private ProgressDialog dialog;
    /** application context. */
    private ListActivity activity;

    protected void onPreExecute() {
        this.dialog.setMessage("Progress start");
        this.dialog.show();
    }

        @Override
    protected void onPostExecute(final Boolean success) {
        if (dialog.isShowing()) {
            dialog.dismiss();
        }


        MessageListAdapter adapter = new MessageListAdapter(activity, titles);
        setListAdapter(adapter);
        adapter.notifyDataSetChanged();


        if (success) {
            Toast.makeText(context, "OK", Toast.LENGTH_LONG).show();
        } else {
            Toast.makeText(context, "Error", Toast.LENGTH_LONG).show();
        }
    }

    protected Boolean doInBackground(final String... args) {
       try{    
          BaseFeedParser parser = new BaseFeedParser();
          messages = parser.parse();
          List<Message> titles = new ArrayList<Message>(messages.size());
          for (Message msg : messages){
              titles.add(msg);
          }
          activity.setMessages(titles);
          return true;
       } catch (Exception e)
          Log.e("tag", "error", e);
          return false;
       }
    }
}

public class Soirees extends ListActivity {
    private List<Message> messages;
    private TextView tvSorties;
    private MyProgressDialog dialog;
    @Override
    public void onCreate(Bundle icicle) {

        super.onCreate(icicle);

        setContentView(R.layout.sorties);

        tvSorties=(TextView)findViewById(R.id.TVTitle);
        tvSorties.setText("Programme des soirées");

        // just call here the task
        AsyncTask task = new ProgressTask(this).execute();
   }

   public void setMessages(List<Message> msgs) {
      messages = msgs;
   }

}

Solution 2:

Fixed by moving the view modifiers to onPostExecute so the fixed code is :

public class Soirees extends ListActivity {
    private List<Message> messages;
    private TextView tvSorties;

    //private MyProgressDialog dialog;
    @Override
    public void onCreate(Bundle icicle) {

        super.onCreate(icicle);

        setContentView(R.layout.sorties);

        tvSorties=(TextView)findViewById(R.id.TVTitle);
        tvSorties.setText("Programme des soirées");

        new ProgressTask(Soirees.this).execute();


   }


    private class ProgressTask extends AsyncTask<String, Void, Boolean> {
        private ProgressDialog dialog;
        List<Message> titles;
        private ListActivity activity;
        //private List<Message> messages;
        public ProgressTask(ListActivity activity) {
            this.activity = activity;
            context = activity;
            dialog = new ProgressDialog(context);
        }



        /** progress dialog to show user that the backup is processing. */

        /** application context. */
        private Context context;

        protected void onPreExecute() {
            this.dialog.setMessage("Progress start");
            this.dialog.show();
        }

            @Override
        protected void onPostExecute(final Boolean success) {
                List<Message> titles = new ArrayList<Message>(messages.size());
                for (Message msg : messages){
                    titles.add(msg);
                }
                MessageListAdapter adapter = new MessageListAdapter(activity, titles);
                activity.setListAdapter(adapter);
                adapter.notifyDataSetChanged();

                if (dialog.isShowing()) {
                dialog.dismiss();
            }

            if (success) {
                Toast.makeText(context, "OK", Toast.LENGTH_LONG).show();
            } else {
                Toast.makeText(context, "Error", Toast.LENGTH_LONG).show();
            }
        }

        protected Boolean doInBackground(final String... args) {
            try{    
                BaseFeedParser parser = new BaseFeedParser();
                messages = parser.parse();


                return true;
             } catch (Exception e){
                Log.e("tag", "error", e);
                return false;
             }
          }


    }

}

@Vladimir, thx your code was very helpful.