The link below gives an overview on creating a thread class in C++. I'm not 100% sure if this is what you're after.
http://www.geocities.com/SiliconVall.../dthreads.html
Another useful looking resource is the following page from the O'Reilly site, it provides a link to an introduction and code examples
Win32 Multithreaded Programming
There are lots of search results returned for both "thread" and "C++" remember Google is your friend!
Have a good one!
Paul