Multi-threading is a very interesting and challenging concept. It can take a while to master but when mastered it can be extremely useful.
Information about multi-threading are so fragmented out there that it is not very easy to find the right ones.
Threading in C#
http://www.albahari.com/threading/
Sample Multi-threading Video
http://www.youtube.com/watch?v=vyKcE7bB9LU