Creating Threads on Program Start?

I'm a beginner with C#...I have experience with C++, but am completely lost in this C# business...

I'm experimenting with starting some threads that will run in the background. Eventually, I would like to work up to establishing a database connection on start-up along with having a server thread running that will pass data from some clients into the database. The application will have a GUI with all of the features that the client has (and more)...

BUT, right now, I am stuck on actually starting the thread...It's meant to start as soon as the program starts, but isn't executing until AFTER I hit the exit button on the main form...WHY?

Main Program File:


#region Using Declarations


using ADOX;

using System;

using System.Collections.Generic;

using System.Data;

using System.Data.OleDb;

using System.IO;

using System.Linq;

using System.Threading;

using System.Windows.Forms;


#endregion


namespace Trap_App

{

    //Main Class

    public class Program

    {

        /// <summary>

        /// The main entry point for the application.

        /// </summary>

        [STAThread]

        static void Main()

        {

            Application.EnableVisualStyles();

            Application.SetCompatibleTextRenderingDefault(false);

            Application.Run(new Form1());


            //Begin Data Handler

            DataHandler Database = new DataHandler();

            Thread data = new Thread(Database.CreateDB);

            data.Start();


        }

    }

}

Database Handler


#region Using Declarations


using ADOX;

using System;

using System.Data;

using System.Data.OleDb;

using System.IO;

using System.Windows.Forms;


#endregion


namespace Trap_App

{


    class DataHandler

    {

        private const string DB_LOCATION = @".\ATAMaster.accdb";

        private OleDbConnection myconnection;

        private OleDbCommand command;

        private OleDbDataAdapter adapter;

        private DataSet dataset;


        //Constructor

        public DataHandler()

        {

        }


        //Begin Methods


        //This method creates an Access 2002-2003 database at DB_LOCATION

        //params: in

        public void CreateDB()

        {

            try

            {

                if (!File.Exists(DB_LOCATION))

                {

                    Catalog cat = new Catalog();

                    cat.Create("Provider=Microsoft.JET.OLEDB.4.0;" +

                               "Data Source= " + DB_LOCATION + ";" +

                               "Jet OLEDB:Engine Type=5");


                    MessageBox.Show("New Master Database has been created.");

                    cat = null;

                }

            }

            catch (Exception e)

            {

            }

        }

    }

}

Thanks!

EDIT: I feel like I'm completely off base with this code >.>