I'm not sure how is it done in Win32, but in .NET there is a IsBackground flag on a thread. Process dies when all its non-background threads exit.

http://msdn.microsoft.com/en-us/library/h339syd0.aspx

EDIT: It seems that in win32 the process does indeed die when the last thread exits. See http://msdn.microsoft.com/en-us/library/windows/desktop/ms68...

Raymond Chen has a pretty good blog post on this:

http://blogs.msdn.com/b/oldnewthing/archive/2010/08/27/10054...

Basically, Win32 wants all threads to die out before the process exits, but the C runtime will exit out the process for you when your "main" thread dies.