You can use class to hold your parameters..

public class MyClass
{
   private string  param;
   public MyClass (string  param)
   {
       this.param = param;
   }
   public void YourFunction()
   {
       // use param here
   }
}            

MyClass cObj = new MyClass (param);
Thread t=new Thread (new ThreadStart (cObj. YourFunction)).Start();                                  

 you can also use msdn reference, good example here.
http://msdn.microsoft.com/en-us/library/1h2f2459(v=VS.90).aspx