Dialog events while its running

//handle on your thread function
HANDLE m_hThread;
//your thread funtion
static DWORD WINAPI ThreadFunction(LPVOID param);
//will be turned to TRUE if the user wants to cancel
BOOL m_Cancel;

//in the constructor
CYourDialog::CYourDialog()
{
    //initialize your handle
    m_hThread = NULL;
    //and the boolean variable
    m_Cancel =  FALSE;
}

//in the button Start/Cancel handler
void CYourDialog::OnButtonStartOrCancelClicked()
{
    if (m_hThread == NULL)
    {
        //no thread is running, so let's start one

        m_Cancel = FALSE;
        //start your thread
        //we pass a pointer to the dialog so we can access easily its members
        m_hThread = CreateThread(NULL, 0, ThreadFunction, this, 0, NULL);
        //change the button text to "Cancel"
        SetDlgItemText(IDC_BUTTON_START_OR_CANCEL, "Cancel");
    }
    else
    {
        //a thread is running, so let's cancel it
        m_Cancel = TRUE;
        //wait for the thread to finish
        //it is not necessary to really wait the end of the thread here
        //I'm just showing a simple way to handle the start/cancel button
        WaitForSingleObject(m_hThread, INFINIE);
        //the thread finished
        CloseHandle(m_hThread);
        m_hThread = NULL;
        //change the button text back to "Start"
        SetDlgItemText(IDC_BUTTON_START_OR_CANCEL, "Start");
    }
}

//the thread function
DWORD WINAPI CYourDialog::ThreadFunction(LPVOID param)
{
    //param is actually a pointer to our dialog
    //use it only to access member data,
    //don't use it to retrieve or change User Interface stuff!!
    CYourDialog* This = (CYourDialog*)param;

    //do your operations there
    for (...)
    {
        ...
        //sometimes, check the m_Cancel variable to know
        //if the user clicked on Cancel button
        if (This->m_Cancel)
        {
            //the user canceled the operation
            //break the loop or do whatever you want to cancel the operation
            break;
        }
        ...
    }

    return 0;
}