You can encapsulate the thread function(download) and the needed parameter(s)(filename) in a class and use the ThreadStart delegate to execute the thread function.
public class Download
{
string _filename;
Download(string filename)
{
_filename = filename;
}
public void download(string filename)
{
//download code
}
}
Download = new Download(filename);
Thread thread = new Thread(new ThreadStart(Download.download);