This book doesn't seem to have been mentioned yet, but Joe Duffy's "Concurrent Programming on Windows" is just about as good as it gets in my opinion. It's basically my concurrency bible. Can't recommend it highly enough. Give it a read!
edit: to provide a little more detail, it provides deep insight into native windows APIs, managed APIs available through .net, and also provides details into the differences between the threading facilities in several major versions of windows. However, having been written before the release of 7, the most recent version is covers is Vista--although I'm not sure W7 is much different. There's substantial theory and history there, as well as several different applications. It's long, but in the long run if you're invested in becoming a skilled concurrent programmer I believe this to be a feature and not a flaw.