Can't we use threads inside the member function of class?

You may create your own wrapper, like this:

///////////////////////////////////////////////////////////////////////////////////
class CThread
{
private:
    static DWORD WINAPI CThreadFunc(_In_  LPVOID lpParameter)
    {//connection to a class
     //needed to have access to nonstatic members
        reinterpret_cast<CThread*>(lpParameter)->run();
        return something;
    }
protected:
    virtual void run() = 0;
public:
    void start()
    {//threading routines wrapper
        DWORD dwThreadId;
        CreateThread(NULL,0, CThreadFunc,(LPVOID)this,0,&dwThreadId);
    }
}

After that, you can use your own threads

class CMyServerThread: public CThread
{
protected:
    virtual void run()
    {
        // do anything you like there, 
        // this will be executed in separated thread
        // here you have full access to non static members of the class
    }
public:
}

After that, you can use your own threads,
start like this:

CMyServerThread myServerThread;
myServerThread.start();

just a small correction to CPallini's code: you need to declare as static.

// inside class A declaration:
class A: public IDialysisConnector:
//..
static DWORD WINAPI ServerConnectThread(LPVOID lpdwThreadParam);
// ..


// in class A implementation:
//..
DWORD WINAPI IDialysisConnector::ServerConnectThread(LPVOID lpdwThreadParam)
{
  printf"this is done");
  return 0;
}
//..

obviously, you can declare virtual static functions. Therefore you need to delete the pure virtual function from IDialysisConnector. So IDialysisConnector should be:

 class IDialysisConnector
{
public:
HANDLE threadHandle_;   
virtual int ConnectToMachine();  //This will make socket connection with the machine.
};

You may use only a static class member function as (third) argument to CreateThread (see ThreadProc callback function[^]).
If you need to access class instance members from the thread routine the you may pass object's this pointer as thread function parameter.

[UPDATE]
change your function this way:

// inside class A declaration:
//..
  DWORD WINAPI ServerConnectThread(LPVOID lpdwThreadParam);
// ..
// in class A implementation:
//..
static DWORD WINAPI IDialysisConnector::ServerConnectThread(LPVOID lpdwThreadParam)
{
  printf"this is done");
  return 0;
}
//..

[/UPDATE]