Exceptions in multithreaded application.

I have heard from a very discerning person that an exception being thrown (and not caught) in a thread is being propagated to the parent thread. Is that true? I have tried something like this but couldn't catch the exception in the creating thread.

    static void Main(string[] args)
    {
        ParameterizedThreadStart pts = 
           new ParameterizedThreadStart(ThreadMethod);
        try
        {
            Thread t = new Thread(pts);
            t.Start(new object());
            Console.ReadLine();
        }
        catch (Exception ex) //the exception is not caught
        {
            Debugger.Break();
        }
    }


    static void ThreadMethod(object @object)
    {
        Thread.Sleep(2000);
        throw new IndexOutOfRangeException();
        Thread.CurrentThread.Abort();
    }