My latest article on DevX shows how easy it is (in the best case) to use OpenMP with C++/CLI. OpenMP is a low-level library to help create concurrent operations. One of things I talk about in the article is that it is at the finest-grain (loops) and the coarsest-grain (service-orientation) that concurrency is easiest. It's when you get into concurrency while manipulating data structures (including objects) that disaster looms.
Update: If you like the article and would like to see more like it, consider digging it.