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...