you need to pass the creditials of the current thread to the new created
thread.

class foo()
{
     private WindowsIdentity mThreadIdentity = null;
     [DllImport("advapi32")] static extern bool RevertToSelf();

     public void StartThread()
     {
           // setup thread

            ThreadStart ts = new ThreadStart(RunReport);
            Thread t  = new Thread(ts);
            mThreadIdentity  = WindowsIdentity.GetCurrent();

            // drop any impersonation

            RevertToSelf();

            // start thread

             t.Start();

           // restore thread identity

           mThreadIdentity.Impersonate();

      }

       private void RunReport()
       {
           mThreadIdentity.Impersonate();
           // do whatever
       }
}