The easiest option is to use a Task class. Msdn nails it, just copying (with minor edits) the relevant bit here
Action action1 = () =>
{
// your code here
};
Action action2 = () =>
{
// your code here
};
Task t1 = new Task(action1);
Task t2 = new Task(action2);
t1.Start();
t2.Start();