というわけでやってみた。普通は関数オブジェクトを引数にすべきだろうけど。改行制限厳しい。VC++ 2008。SP1ならもう少し簡単になる。
#include <utility>
#include <memory>
#include <stdio.h>
#include <process.h>
#include <windows.h>
#include <atlbase.h>
class Hoge {public: UINT Proc() {puts("Hoge::Proc"); return 0;}};
template<typename T>
UINT __stdcall beginthread2_entry(void* p) {
  typedef std::pair<T*, UINT (T::*)()> thread_data_t;
  thread_data_t* ptd = static_cast<thread_data_t*>(p);
  T* px = ptd->first;
  mem_fn_t mf = ptd->second;
  delete ptd;
  return (px->*mf)();
}
template<typename T>
HANDLE beginthread2(T& x, UINT (T::*memFn)(), int priority = THREAD_PRIORITY_NORMAL, UINT stack = 0, DWORD flags = 0, LPSECURITY_ATTRIBUTES lpsa = 0) {
  typedef std::pair<T*, UINT (T::*)()> thread_data_t;
  std::auto_ptr<thread_data_t> ptd(new thread_data_t(&x, memFn));
  uintptr_t ret = _beginthreadex(lpsa, stack, beginthread2_entry<T>, ptd.get(), flags, 0);
  if (ret != 0)
    ptd.release();
  return reinterpret_cast<HANDLE>(ret);
}
int main() {
  Hoge hoge;
  ATL::CHandle h(beginthread2(hoge, &Hoge::Proc));
  if (h != 0)
    WaitForSingleObject(h, INFINITE);
}