Hmm, ok. Cool.
What I ment to say was that you don't have to define the LoadingThreadFunc() as part of your class at all. You can just define it at the top of your file (in which you create the thread).
BUT, having thought about this I must agree that your way is much better. Defining the LoadingThreadFunc() as a private static function will hide the function from the world, which is exactly what we want. Global functions (and members in perticular) should be avoided as far as possible.
So, the mistake was clearly mine and I will change the code of my Thread class immediately.
Thanks Frank.