Не знаю, может, это давно всем известно, но что нашлось в MSDN:

A thread in an executable that calls the C run-time library (CRT) should use the _beginthreadex and _endthreadex functions for thread management rather than CreateThread and ExitThread; this requires the use of the multi-threaded version of the CRT. If a thread created using CreateThread calls the CRT, the CRT may terminate the process in low-memory conditions.