C# Anonymous Thread with Lambda Syntax

In general I get C#'s lambda syntax. However the anonymous thread syntax isn't completely clear to me. Can someone explain what a thread creation like this is actually doing? Please be as detailed as possible, I'd love to have a sort of step-by-step on the magic that makes this work.

(new Thread(() => {
        DoLongRunningWork();
        MessageBox.Show("Long Running Work Finished!");
    })).Start();

The part that I really don't understand is the Thread(() => ...

When I use this syntax it seems like I remove a lot of the limits of a traditional ThreadStart such as having to invoke on a method that has no parameters.

Thanks for your help!