How about:

pictureBox1.LoadAsync(url);

The best way of stopping a thread is to let it exit cleanly, possibly
getting it to short-circuit internally by toggling a flag or whatver
(to break from a loop). Setting a varible (to the thread) to null
doesn't impact the thread in the least.

In the more general sense, when working with forms you can use
pool-threads to perform background activities, e.g.

       void StartLoadImage(string url) {
           // runs on UI thread when method invoked
           ThreadPool.QueueUserWorkItem(delegate {
               // runs on background thread
               using(WebClient webClient = new WebClient())
               using(MemoryStream stream = new
MemoryStream(webClient.DownloadData(url))) {
                   this.Invoke((MethodInvoker)delegate { // not
BeginInvoke, else stream might Dispose()
                       // runs on UI thread when data is available
                       pictureBox1.Image = new Bitmap(stream);
                   });
               }
           });
       }

You can also use async-callbacks, but I find the above easier to
read... but it doesn't take advantage of completion ports, etc...

Marc