You should be careful using multiple threads in an ASP environment. ASP is inherently multi-threaded already, in that it is processing multiple requests simultaneously -- unlike a desktop application that only has one user. Unless your web application has very few users, it's unlikely that you have unused cores. Creating extra threads in your ASP page could negatively impact the performance of other page requests.
There's an article on doing asynch processing in ASP here: http://msdn.microsoft.com/en-us/magazine/cc163725.aspx
This article explains the concept of asynch pages in ASP and how to do it without negatively impacting other connections, using the asynch API specifically designed for ASP.