Threads and delegates — I don't fully understand their relations

I wrote a code that looks somewhat like this:

Thread t = new Thread(() => createSomething(dt, start, finish) );
t.Start();

And it works (sometimes it almost feel like there are multiple threads).

Yet I don't use any delegates.

1. What is the meaning of a tread without a delegate?
2. If a delegate is necessary — then please tell me what and how the connection is made to the delegate.