Pretty sure the DLL is loaded into the application process and all threads are created within that
Download Process Explorer
http://technet.microsoft.com/en-us/sysinternals/bb896653[
^] and you can browse the threads your process has created (invaluable tool if you don't have it anyway!)
Edit: Was just about to add about 'in process' and 'out of process' (i remember from my VB6 days!), but been beaten to it.