Running multiple threads in C++

I need to run a loop for 1 million iteration for which I need to construct multiple threads to work on it. Kindly guide me to run multiple threads in VC++ win32 console applications.

There are different options you can use for implementing threading. In your case you might want to use the Windows API.
http://msdn.microsoft.com/en-us/library/ms684841(v=VS.85).aspx

There are other options though depending upon your needs and requirements. At work we typically use pthreads because we develop on both Windows and Unix based platforms.
https://computing.llnl.gov/tutorials/pthreads/