You can force your threads to run on specific cores, but in general you should let the OS take care of it. The operating system handles much of this automatically. If you have four threads running on a quad core system, the OS will schedule them on all four cores unless you take actions to prevent it from happening. The OS will also do things like try to keep an individual thread running on the same core rather than shifting them around for better performance, not schedule two running threads on the same hyperthreaded core if there are idle cores available, and so on.
Also, rather than creating new threads for work you should use the thread pool. The system will scale this to the number of processors available on the system.
Windows Internals is a good book for covering how the Windows scheduler works.