Unless utilizing a framework that handles multithreading, a program can only do one thing at a time. If you need additional independent processes to perform work, you can use a new thread.
A web application can serve more than one request at a time due to threading. Otherwise a website could only serve one visitor at a time creating a long line of visitors waiting to get a webpage served.
The example contained uses creates a thread pool with the Thread class and keeps track of the work before exiting.
Threads are not commonly used directly as this is more of the 'bare metal'. You should have a look at ThreadPool and Tasks which are abstracted uses of Threads.