I have a number crunching application written in C. It is kind of a main loop that for each value calls, for increasing values of \"i\", a function that performs some calcul
Your code is not automatically multi-threaded by the compiler if that was your question. Please note that the C standards themselves know nothing about multi-threading, since whether you can use multi-threading or not does not depend on the language you use for coding, but on the destination platform you are coding for. Code written in C can run on pretty much anything for that a C compiler exists for. A C compiler even exists for a C64 computer (almost completely ISO-99 conform); however, to support multiple threads, the platform must have an operating system supporting this and usually this means that at least certain CPU functionality must be present. An operating system can do multithreading almost exclusively in software, this will be awfully slow and there won't be memory protection, but it is possible, however even in that case you need at least programmable interrupts.
So how to write multi-threaded C code depends entirely on the operating system of your target platform. There exists POSIX conform systems (OS X, FreeBSD, Linux, etc.) and systems that have their own library for that (Windows). Some systems have more than library for it (e.g. OS X has the POSIX Library, but there is also the Carbon Thread Manager you can use in C (though I think it is rather legacy nowadays).
Of course there exists cross-platform thread libraries and some modern compilers have support for things like OpenMP, where the compiler will automatically build code to create threads on your chosen target platform; but not many compilers do support it and those that do support it are usually not feature complete. Usually you get the widest system support by using POSIX threads, more often called "pthreads". The only major platform not supporting it is Windows and here you can use free 3rd party libraries like this one. Several other ports exists as well (Cygwin has one for sure). If you will have a UI one day of some kind, you may want to use a cross-platform library like wxWidgets or SDL, both offering consistent multi-thread support on all supported platforms.