You can use CreateThread as in any other assembly code. Remember MasmBasic is assembly with some macros.
There is one specific case where MasmBasic creates a worker thread:
include \masm32\MasmBasic\Res\MbGui.asm
GuiControl MyEdit, "edit", bcol Blue, fcol White, "Download has started", font -16:FW_SEMIBOLD
Download "http://masm32.com/board/index.php?topic=8283.0"
Event Download
SetWin$ hMyEdit=NoTag$(wParam_) ; pointer to html text returned in wParam_, we strip the tags
GuiEnd