In this tutorial, multithreaded programming is explained using an example "Counter Thread". 

What is multithreading? : 

A thread is basically a path of execution through a program. It is also the smallest unit of execution that Win32 schedules. A thread consists of a stack, the state of the CPU registers, and an entry in the execution list of the system scheduler. Each thread shares all of the process's resources.

The Microsoft Foundation Class Library (MFC) provides support for multithreaded applications. 

A "process" is an executing instance of an application. For example, when you double-click the Notepad icon, you start a process that runs Notepad. A "thread" is a path of execution within a process. When you start Notepad, the operating system creates a process and begins executing the primary thread of that process. When this thread terminates, so does the process. This primary thread is supplied to the operating system by the startup code in the form of a function address. Usually, it is the address of the main or WinMain function that is supplied.

You can create additional threads in your application if you wish. You may want to do this to handle background or maintenance tasks when you don't want the user to wait for them to complete. All threads in MFC applications are represented by CWinThread objects. In most situations, you don't even have to explicitly create these objects; instead call the framework helper function AfxBeginThread , which creates the CWinThread object for you.

MFC distinguishes two types of threads: user-interface threads and worker threads. User-interface threads are commonly used to handle user input and respond to events and messages generated by the user. Worker threads are commonly used to complete tasks, such as recalculation, that do not require user input. The Win32 API does not distinguish between types of threads; it just needs to know the thread's starting address so it can begin to execute the thread. MFC handles user-interface threads specially by supplying a message pump for events in the user interface. CWinApp is an example of a user-interface thread object, as it derives from CWinThread and handles events and messages generated by the user.

A process consists of one or more threads and the code, data, and other resources of a program in memory. Typical program resources are open files, semaphores, and dynamically allocated memory. A program executes when the system scheduler gives one of its threads execution control. The scheduler determines which threads should run and when they should run. Threads of lower priority may have to wait while higher priority threads complete their tasks. On multiprocessor machines, the scheduler can move individual threads to different processors to "balance" the CPU load.

Each thread in a process operates independently. Unless you make them visible to each other, the threads execute individually and are unaware of the other threads in a process. Threads sharing common resources, however, must coordinate their work by using semaphores or another method of inter process communication.

Please go through MSDN for more information about threads. Click on the appropriate  link below to see the Video and the source code of Counter Thread.

 Multithreaded Programming using VC++