I have a SQL query Like
SELECT Column1, Column2, Column3, **ufn_HugeTimeProcessFunction**(Column1, Column2, @Param1) As Column4
From Table1
If the server computer on which SQL Server is running has multiple CPU's SQL Server can run a single query in parallel using multiple threads. In addition to running user queries on multiple processors SQL Server can also use multiple threads to build indexes. When examining textual or graphical execution plans you will notice exchange operators distribute streams, repartition streams and gather streams if the query is using more than one processor. Typically queries that make heavy use of CPU cycles are good candidates for parallel execution. For example a query joining several large tables and sorting the output before returning it to the user is likely to benefit from a parallel execution plan.
In brief, SQL server itself is a good judge of whether a query can be run in multiple threads or not. Basically query optimizer sees if parts of the query can be run in parallel and takes a call.
If the query contains a scalar operator or relational operators that cannot run in parallel, then it won't be considered for parallel execution. Furthermore, if the number of rows to be operated on is relatively low, query optimizer doesn't consider parallel execution plans.
Going by your words, the function is time consuming. So external select and the function will most definitely be running on different threads. However, without visibility to the ufn_HugeTimeProcessFunction, it will be very difficult to provide a solution to optimize the function for parallel runs. In the absence of that, I would recommend you to have a look at the execution plan for the function and see if you can tweak the query to reduce scalar and relational operations
Quote Source : http://www.toadworld.com/platforms/sql-server/w/wiki/9824.parallel-query-processing.aspx
More info on using parallelism after analyzing execution plans can be found at https://www.simple-talk.com/sql/learn-sql-server/understanding-and-using-parallelism-in-sql-server/