CWinThread * pUIThread;//thread interface 
PUIThread=AfxBeginThread (RUNTIME_CLASS (CcbCopyFile)); 

My understanding is that AfxBeginThread returns a pointer to a base class, its parent class is CcbCopyFile?

CcbCopyFile, therefore, the class itself is used as base class, so, its structure and destructors are best protected
And its destructor must be vitual
I understand that right?

See AfxBeginThread concrete implementation is