Theres a really good PDF about threading in .NET here the MSDN documentation for the Thread class as well as the threading primitives (Mutex, WaitHandle, ReaderWriterLockSlim et al) is also good reading.
The key things to understand are:
- When to use a thread
- When not to use threads
- How to manage sharing state between threads.
I could go on to explain these here, but I feel the threading PDF linked to above does a far better job than I could in that respect, the key point is that threads are a powerful tool and understanding when and how to use them will make you more proficient in their use than simply reading MSDN, although strategies for using threads effectively are covered there also.