Yes, he needs to be more specific!
dczraptor: why shouldn't you multi-thread your XNA application how elso would you get to use the power of the 4 available hardware threads on teh xbox (2 are reserved, we only have 4 available)
Rocket Commander is multi-threaded (not to imply that Rocket Commander isn't as fun as GoW ;)). If the first multi-threaded program you write is Geat of War, you will be in for a world of hurt. Simpler program is a good place to learn about multi-threading. No doubt that some beginners will get in trouble doing thread programming, but that's not a good reason to discourage people from learning about threads. Btw, I think alot of people in these forums have day jobs as software engineers and/or works in game companies.
EDIT: Here is an article showing you how to create and terminate threads in C#
http://msdn2.microsoft.com/en-us/library/7a2f3ay4.aspx