You are looking for a container like an array or a list. Please make sure you understand those structures before you go into threading because they are pretty basic constructs and threading is tough stuff.
int Parallel_Count = int.Parse(nudParallelCount.Text);
Thread[] threads = new Thread[Parallel_Count];
for (int i = 0; i < Parallel_Count; i++)
{
threads[i] = new Thread(/*fill thread start here*/);
threads[i].Start();
}