In this case, both threads will probably cause some contention on the database and it won't be any quicker. If you want to speed up database inserts you should consider bulk import. I don't know if your db supports it.
EDIT: There are quite a few examples of threading along with warious attempts at an explanation on this forum.
kbw may very well be right about this. But since you want to know about threads, here it is:
Yes, CreateThread() will give you new threads, and yes, you can create two that work using the same function. Use the parameter to tell the function the range of items to insert in the database and satisfy your curiosity. :)
@ Psychopete: Mutex's are more useful for example when several users are accessing the same Database (DB) on a shared network resource. If the OP were to use this method then only one thread would be writing to the DB at a time which kind of defeats the purpose of multithreading. Assuming both threads are ready to go right away.
Now if each thread had to wait for the data to come in from some stream then the performance loss from using a Mutex would not be noticable since the threads would probably not be accessing the DB at the same time. It's important when using these NOT to flood the CPU with NOP commands or file lock queries while the inactive thread is waiting for it's turn to write to the DB, this can get complicated.
Not saying that is the solution for the OP; just thought it was a good example of CreateThread. Whether or not the OP needs a mutex, the OP will have to make that assessment.