UnauthorisedAccessException For Thread

I am writing a new asp.net program. Here in, the user has to click on a
button on a web page, and a new excel sheet should open up.

I could do it successfully using Office 2k3 PIA's for the click event handler for the button. Then I decided to create a new thread and complete the process of creating an excel sheet in the new thread itself.

But I am getting the following error.

An unhandled exception of type 'System.UnauthorizedAccessException' occurred
in Unknown Module.

Additional information: Access is denied

But, the code executes successfully when i remove the thread and directly
code it in the click event handler for the asp button.

What might be the problem?? How can I give access permission to the thread??
Should set some permission in the Internet Information Services Manager.