Windows handling CTRL+C in different thread?

From MSDN topic HandlerRoutine:

A HandlerRoutine function is an application-defined function used with the SetConsoleCtrlHandler function. A console process uses this function to handle control signals received by the process. When the signal is received, the system creates a new thread in the process to execute the function.

So, the answer is: this is impossible.

Read the following link for an interesting take on this: http://blogs.msdn.com/b/oldnewthing/archive/2008/07/28/8781423.aspx