Since you are new to C++, start by understanding the basics before dealing with libraries such as Boost or OpenMP which both will raise more questions than anything else.

Use what comes with your compiler as a starting point, understand the fundamentals of threading, play around with simple applications and once you get a better understanding you can start looking at alternative (and more platform-independent) ways of threading.

Don't start running before you can walk....look at the following for example: