I have a Windows Forms Application. Inside the main form there is a loop that iterates around 3000 times, Creating a new instance of a class on a new thread to
If you are creating 3000 separate threads, you are pushing a documented limitation of the ThreadPool class:
If an application is subject to bursts of activity in which large numbers of thread pool tasks are queued, use the SetMinThreads method to increase the minimum number of idle threads. Otherwise, the built-in delay in creating new idle threads could cause a bottleneck.
See that MSDN topic for suggestions to configure the thread pool for your situation.
If your work is CPU intensive, having that many separate threads will cause more overhead than it's worth. However, if it's very IO intensive, having a large number of threads may help things somewhat.
.NET 4 introduces outstanding support for parallel programming. If that is an option for you, I suggest you have a look at that.