Declare Sub Sleep Lib "kernel32" (ByVal dwMilliseconds As Long)
Declare Function CreateThread Lib "kernel32" (lpThreadAttributes As Any, ByVal dwStackSize As Long, ByVal lpStartAddress As Long, lpParameter As Any, ByVal dwCreationFlags As Long, lpThreadID As Long) As Long
Declare Function TerminateThread Lib "kernel32" (ByVal hThread As Long, ByVal dwExitCode As Long) As Long
Declare Function CloseHandle Lib "kernel32" (ByVal hObject As Long) As Long
Private hThread As Long, hThreadID As Long
Public Sub AsyncThread()
    'к примеру, 5 секунд работает
    Sleep  5000 
    hThread =  0 
    CloseHandle hThread
    ' Тут мы что-то делаем
End Sub

Public Sub InitThread()
 hThread =  0 
End Sub

Public Sub CloseThread()
 If hThread <>  0  Then
  TerminateThread hThread,  0 
  CloseHandle hThread
 End If
End Sub

Public Sub CreateNewThread()
 hThread = CreateThread(ByVal  0 &, ByVal  0 &, AddressOf AsyncThread, ByVal  0 &, ByVal  0 &, hThreadID)
End Sub

Private Sub Command1_Click()
 CreateNewThread
End Sub

Private Sub Form_Load()
 InitThread
End Sub

Private Sub Form_Unload(Cancel As Integer)
  CloseThread
End Sub