Just simple CreateThread example with proper way to QUIT.

windows_thread.rs

use windows::{
    core::{GUID, HSTRING},
    Win32::{
        Foundation::HWND,
        System::{
            Com::{CoInitializeEx, COINIT_APARTMENTTHREADED},
            Threading::{
                CreateThread, GetCurrentThreadId, WaitForSingleObject, THREAD_CREATION_FLAGS,
            },
        },
        UI::WindowsAndMessaging::{
            DispatchMessageW, GetMessageW, PostQuitMessage, TranslateMessage, MSG, WM_USER,
        },
    },
};

unsafe extern "system" fn handler(_arg: *mut c_void) -> u32 {
    let mut msg = MSG::default();
    unsafe {
        while GetMessageW(&mut msg, None, 0, 0).as_bool() {
            if msg.message == WM_USER + 0x10 {
                PostQuitMessage(0);
            }
            TranslateMessage(&msg);
            DispatchMessageW(&msg);
        }
    }
    0
}

fn create_thread() {
    let thread_id = None;
    let handle = unsafe {
        CreateThread(
            None,
            0,
            Some(handler),
            None,
            THREAD_CREATION_FLAGS::default(),
            thread_id,
        )
    }
    .unwrap();

    // Send a message to the notification thread to quit
    unsafe {
        PostThreadMessageW(
            win_thread_id,
            WM_USER + 0x10,
            WPARAM::default(),
            LPARAM::default(),
        );
    }

    // Join the thread
    unsafe { WaitForSingleObject(handle, u32::MAX) };
}