You can interrupt it by queuing an APC to it via QueueUserAPC. However, it's most likely unsafe to terminate the thread in the APC. Queuing an APC doesn't end the recv, it just interrupts it; once the APC returns, it will go back to waiting on recv again.
If you want to stop the recv completely, you should be using select with a timeout to wait until data is available. You can then check whether you should keep waiting for data or continue at each timeout.
