From Wikipedia
Research has focused on solving the
minimum spanning tree problem in a
highly parallelized manner. With a
linear number of processors it is
possible to solve the problem in
O(logn) time. A 2003 paper "Fast
Shared-Memory Algorithms for Computing
the Minimum Spanning Forest of Sparse
Graphs" by David A. Bader and Guojing
Cong demonstrates a pragmatic
algorithm that can compute MSTs 5
times faster on 8 processors than an
optimized sequential algorithm.[9]
Typically, parallel algorithms are
based on Boruvka's algorithm—Prim's
and especially Kruskal's algorithm do
not scale as well to additional
processors.
So, you might look into the algorithm mentioned in that paper, but Kruskal probably won't benefit from multiple threads.