new ThreadStart (Method1)
ThreadStart is a delegate. Method1 is a function that matches the ThreadStart delegate. Method1 is going to be the entry point (aka the starting point) for the new thread.
new Thread (new ThreadStart (Method1))
The thread object is being created.
Thread firstThread = new Thread (new ThreadStart (Method1));
The created thread object is being assigned to firstThread.
Depending on what you are wanting to do with threads, the BackgroundWorker class which I *think* is in the System.ComponentModel namespace makes it easier to have background worker threads separate from your main program flow.