Threads and Looping

I've come up with a short test program in VB.NET to see if I understand threads run in a loop, and it's obvious I don't. Please take a look at the code below and explain why I'm not getting a MsgBox back after each loop.

Imports System.Threading

Public Class Form1

Dim WithEvents oSquare As SquareClass
Dim t As Thread

Public MySquare As Double

Private Sub SquareButton_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles SquareButton.Click

Dim x As Integer = Convert.ToInt32(TextBox1.Text)
For i As Integer = 0 To x
oSquare = New SquareClass()
oSquare.Value = Convert.ToDouble(i)

t = New Thread(AddressOf oSquare.CalcSquare)
t.Start()
Next
End Sub

Sub SquareEventHandler(ByVal Square As Double) _
Handles oSquare.ThreadComplete

MySquare = Square
MsgBox("The square is " & Square)

End Sub
End Class

Imports System.Threading

Public Class SquareClass

Public Value As Double
Public Square As Double

Public Event ThreadComplete(ByVal Square As Double)

Public Sub CalcSquare()
Thread.Sleep(1000)
SyncLock GetType(SquareClass)
Square = Value * Value
RaiseEvent ThreadComplete(Square)
End SyncLock
End Sub
End Class