Memory Usage Problems

I have built an application that makes great use of threads (a winsock server). This is fine as the program is v. optimised. The only problem is that alot of memory is being used.

I built a dummy application which created one thread, and using XP's CPU Usage indicator it shot from 18% to 100% then back down when the thread closed.

What im wanting to know is how can i stop the thread from using so much CPU Usage ??

I have tried fiddling with SetThreadPriority with no avail.

P.s i am using _beginthread() or _beginthreadex() i do not really want to use CreateThread as i have heard from Parksie it leads to memory loss.