marwan90; If you will be programming in Python, see http://docs.python.org/library.....ading.html
If you will be programming in Java, see any of the documentation available. It'll be exactly the same on the Pi as on anything else.
If you will be programming in C, then look for documentation on 'pthread' (http://en.wikipedia.org/wiki/P.....IX_Threads
is a good starting point). This is the same as Linux on e.g. your PC, and the same as other Unixes.
If you will be programming in C++ then use either pthread (just like in C) or alternatively use Boost::Thread, which is object oriented and cross platform (i.e. the same code will compile and run Windows*)
* (Yes, yes, I know about Cygwin et cetera. I'm keeping it simple).