Why are threads so scary?

I'm trying to learn threads so I created a simple dialog based MFC app
with an edit box, a Run button and an Exit button. Run starts a loop
that continually updates the edit control. How do I modify the code so
that the dialog responds to events? That is, so the Exit button will
work. Do I even need threads in this situation?

void CThreadPracticeDlg::OnBnClickedRun()
{
int i = 0;
while (1) {
if (i >= 10) {
i = 0;
}
char intString[2];
_itoa(i,intString,10);
CString msg = CString(intString);
m_edit1.SetWindowTextW(msg);
i++;
Sleep(500);
}

}

void CThreadPracticeDlg::OnBnClickedExit()
{
exit(0);

}

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