Instantiating Classes Via Threading

I implement a lot of different classes so that calculations in the New constructor of each class are carried out after instantiation using:

Dim run1 as New Compute(param1, param2, etc)

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where Compute is a Class.

Question is, what is the appropriate way to instantiate a Class using threading?   I need to start piling up a lot of work in the classes by using threads, since the Windows GUI tends to hang as soon as processing with 3-4 running classes gets started.  

This also raises some very important questions.  (first, fyi - there is no GUI interaction with controls on Form1 when the classes are running -- so there would likely be no cross-threading issues).   At run-time, it was observed that if, say, 5 classes are instantiated, the processes got too heavy and the Windows 8 GUI tended to hang.   Given this, can I sequentially implement threads so that as one finishes, the next one starts?

Lastly, by now I would think that with VB.NET 2010, 2012 there is an improved method for limiting CPU usage for a thread.   This would prevent a users screen from freezing during heavy computations.   What is the best way to guard against GUI hangs for users (in case they have fewer/slower processor cores, less RAM, etc.)?