One of the things you will learn about using the Debugger is that you will see what we might call "the soft white underbelly" (an allusion to alligators' anatomy) of the system: all kinds of DLLs being loaded and unloaded, the somewhat complex arrangement of "helper" threads being started and stopped... etc.
It can be distracting to a less experienced user, to see all of these messages. However, over time, you will come to understand that the Debugger is simply being truthful and verbose. The details it is displaying for you might not really be relevant to your debugging process, but it cannot "know" that; it is only displaying factual information, and you have to sort out what is relevant and what is not.
As for Windows Forms applications, I have myself noticed that there seem to be several "helper" threads, typically with no name, or (as is frequently seen by me when debugging), they are named things like "vshost.RunParkingWindow". Typically, you have to trust that the system is creating threads on your behalf, in addition to any threads you might create yourself. As others have suggested, give your own threads meaningful names so you can tell them apart from the system's threads.
You can get further insight into the multithreaded structure of your Windows Forms app by putting a breakpoint somewhere in your UI update code, and when it hits, use Debug/Windows/Threads to bring up a view of all the threads running in your process space. You'll be quite surprised, I think, by how many there are! Try creating and .Show()-ing several forms in your app, one by one. I think you'll see that each .Show() operation creates a new window, and with it, several supporting threads for that window.
You may also see messages in the debug window such as the following: "A first chance exception of type 'System.ObjectDisposedException' occurred in System.Windows.Forms.dll". Many times there are system exception handlers that perform a reasonable default action on your behalf. This message appearing without a break in the debugger indicates that some default handler took care of this exception for you.
The system support for something like a Windows forms application is somewhat complicated, to make YOUR implementation easier and simpler. When you run the debugger, you get to see some of these details. Over time, you will learn what is "usual" and what is indicative of a problem.