what are callback functions?

Callbacks are often used for multithreading but that is not their purpose. A callback is a way for an API to provide a way for the caller to do some custom processing. In the Windows API for example there are many functions such as EnumWindows that Windows programs call to get information from Windows. Instead of returning a list of windows when EnumWindows is called Windows calls a callback once for each window. In the Windows API most API functions that use a callback do not call the callback in a separate thread.

In C#, delegates are usually used instead of a calback. Or you could say that a delegate is the C# way of doing a callback. Experienced C# programmers know that not all functions called by a delegate execute in a separate thread. Windows must use a callback mechanism because it is unmanaged code.

Managed code was not even a twinkle in Bill Gate's eyes when Windows was first developed. When Windows was first developed, not even C++ was a standard.

thank's Amit

Well explained krishna.. :)) keep it up

Callback function is one type of Asyncronous process. Async process mean we are running any thread in behind but we are able to perform more action at a time.
ex. say you are sending some mail but you don't want to wait upto that mail will reach @ destination instead you want to perform other task. For acknowledgement of your mail send function you can use this CallBack function.
Thread are not seafty cause of many resion. So we in most of the cases use Asyncronous processing.