everything that I know of runs on the UI thread unless you program it to run on a seperate thread. Running processing on seperate threads frees up the UI thread to do other things. Take for example loading a form with a grid on it. That grid needs to retrieve data from the DB. Sometimes that takes time. If you kick off a seperate thread to poll the DB, then the UI can continue to load the form while the CPU is waiting on the response from the server to return the data. Doing multi-threading isn't easy so don't try it for the first time unless you have time to get over the learning curve or you have a definate requirement to do it.
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