SqlConnection and threads

I have an SqlConnection object defined as a member of main form. I also have
a thread that creates an SqlDataReader but uses the same SqlConnection
object. The SqlDataReader simple loops round for each row in the result set.

The problem I have is that after running the thread many times, the
SqlConnection object simply closes the connection to the database (picked up
from the StateChange event). No exceptions are generated. Sometimes the
thread can be run a dozen times before this happens, sometime it take 50+
times.

Is this a threading issue? Are there any special requirements I have to
consider to allow a thread to use an SqlConnection object that isn't defined
as a member of the thread?

From the thread I don't actually call any SqlConnection methods directly but
the SqlDataReader must do - do I have to syncronize all SqlDataReader method
calls using a delegate? If so, I can see this slowing everything down. Do I
have to give each thread it's own SqlConnection to the database?

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Best regards
Mark