C / C++ / MFC

HANDLE hThread = //the handle to the thread that you started
DWORD dwWait;
do{
   dwWait  = MsgWaitForMultipleObjects(1,
                                           &hThread,
                                           FALSE,
                                           5000,
                                           QS_ALLINPUT);
   switch( dwWait )
   {
   case WAIT_OBJECT_0:
       //handle became signalled!
                      //this means your thread is done!
       break;
   case WAIT_OBJECT_0 + 1:
       {
       //This thread awoke due to sent/posted message
       //process the message Q
       //
       //  There is a message in this thread's queue, so
       //  MsgWaitForMultipleObjects returned.
       //  Process those messages, and wait again.

       MSG msg;
       while( PeekMessage(&msg, NULL, 0,0, PM_REMOVE ) )
       {
           TranslateMessage(&msg);
           DispatchMessage(&msg);
       }
          }break;
   case WAIT_TIMEOUT:
       {
           // some sort of problem occurred
       }break;
       default:
               {
                  //unexpected return value from MsgWaitForMultipleObjects
               }break;
       }//end switch(dwWait)
 }while( dwWait != WAIT_OBJECT_0 );


 //when your code get's here, it's because the worker thread has finished