Question: How to implement multi-threading in visual basic 6.0. It would be great if someone can give an example.

Answer: 
On several projects I have implemented asynchronous processing in VB6 using multiple processes. Basically having a worker thread within an active exe project that is separate from the main process. The worker exe can then be passed whatever data it needs and started, raising back an event to say it's finished or there is data for the main process.

It's a more resource hungry (an extra process rather than a thread) but VB6 is running in a single threaded apartment and doesn't have any built in support for starting new threads. 

If you really need to have multiple threads within one process I'd suggest looking at using .net or VC6 rather than VB6.
Create "Active X" controls to manage your code. Each control has its own thread. You can stack multiple controls doing the same thing, or have individual controls doing unique things.

EG, You make one to download a file from the net. Add ten controls and you have ten individual threaded downloads running, independent of the thread which the actual program is running. Essentially, they are all just interactive, windows, controlled by an instanced mini-dll program.

Can't get any easier than that. You can throttle them, turn them on and off, as well as create more, or remove them, as needed. (Indexing just like any other of the "Objects", on a form. Which are all just active-x controls, which are simply managed by the vb-runtime dlls.)