I have a Win32 native VC++ application that upon entering WinMain() starts a separate thread, then does some useful job while that other thread is running, then
I think you can first close all your windows(so the user won't see your application), and then set a flag for exit, your thread should check the flag periodicly, and once found set, the thread should return.
after set the flag, your main thread could call ::WaitForSingleObject() or ::WaitForMultipleObjects() for a while (say, three seconds), if the thread(s) not return, just kill them by ::TerminateThread().