DWORD CALLBACK ThreadProc(void* pArg){
	DWORD delay;
	delay = PtrToUlong(pArg);
	Sleep(delay);
	//Do your shit here
}

HANDLE hThread;
DWORD tid;
hThread = CreateThread(NULL, 0, ThreadProc, ULongToPtr(delay), 0, &tid);
CloseHandle(hThread);