Thanks everyone for your answers.
To sum up for the answer or this topic:
There are two mainstream solutions:
1) You can choose "standard" Threads implemented in C++ 11
2) You can Compile and choose Boost Threads which are the basis of "standard" implementation at some point.
If you Choose going with Boost Threads, you will have to compile the Thread code into a library so it would be usable. The tool to build the library expects a "toolchain" such as a compiler in it's parameters.
Below is a line to compile required Boost.System and Boost.Thread under the Microsoft Visual Compiler without compiling other elements:
bjam toolset=msvc-11.0 --build-type=complete --with-thread
bjam.exe can be found inside the root(extracted) Boost Folder (after launching "bootstrap.bat" in the same folder on Windows).
After you compiled You can include The "Boost root directory" in your IDE includes and link a library that has Path "/stage/lib" inside the "Boost root" in your IDE linker. You should be all done after that.