When the function executed by the CreateThread() call returns, the thread terminates, though ExitThread() isn't a bad way to end the thread if you don't have any C++ objects live. In general, just use return. The HANDLE returned by CreateThread() can be used with functions like WaitForSingleObject() or WaitForMultipleObjects() which will signal when the thread terminates.

This book has some info about threads starting at page 1000.
Its not much but it is a start

Also, you could have a variable in the shared memory that is called somewhat along the lines of 'ThreadExit'. Have your thread function check for it's value and once it's set to one ( or to whatever value you'd like to exit on ) return from the thread's function.

edit:

Quote:But how will my main thread know about this?

That is simple once you have above-mentioned ThreadExit variable in the shared memory block. You just let the thread set the ThreadExit variable to 1 if it exits and thus the main program can check that variable to see if the thread ended. Note, it is not advisable to have two thread read/write a variable in the shared variable at once. I believe you can circumvent that problem with mutexes, but I'm not such an advanced multithreader that I feel safe to explain them ;) I'll leave that honor to someone else.