Laurent Bugnion dicovered a bug with multi-threading on the Windows Phone emulator.
Multithreading is supported in Windows Phone 7 Silverlight applications, however the emulator has a bug (which I discovered and was confirmed to me by the dev lead of the emulator team): If you attempt to start a background thread in the MainPage constructor, the thread never starts. The reason is a problem with the emulator UI thread which doesn’t leave any time to the background thread to start.