public class MyClass
{
   private HttpContext _ctx;
   public MyClass(HttpContext ctx){_ctx = ctx;}

   public void Start()
   {
       ThreadStart start = new ThreadStart(MainThreadRoutine);
       Thread.Start(start);
   }

   private void MainThreadRoutine()
   {
       // Do something lengthy using the HttpContext in _ctx
       // ...
       //  But by the time you get here, it's all over, and _ctx is
meaningless, because the request is OVER
       // and you missed the boat!
   }
}

// In your page class:
private void Page_Load(object sender, EventArgs e)
{
   MyClass myClass = new MyClass(HttpContext.Current);
   myClass.Start();
}

What you're trying to accomplish cannot be accomplished easily in ASP.NET
1.0 or 1.1. According to the latest issue of MSDN Magazine, MS appear to
have a partial solution for this problem in ASP.NET 2.0. In the meantime, I
recommend that you finish every other part of your application before
returning to this "multiple threads in ASP.NET" issue. When everything else
is done, you can spend some time reinventing the wheel.