Disclaimer The opinions expressed herein are my own personal opinions and do not represent my employer's view in any way.
Multithreading is managed internally by a thread scheduler, a function the CLR typically delegates to the operating system. A thread scheduler ensures all active threads are allocated appropriate execution time, and that threads that are waiting or blocked – for instance – on an exclusive lock, or on user input – do not consume CPU time.
On a single-processor computer, a thread scheduler performs time-slicing – rapidly switching execution between each of the active threads.
On a multi-processor computer, multithreading is implemented with a mixture of time-slicing and genuine concurrency – where different threads run code simultaneously on different CPUs. It's almost certain there will still be some time-slicing, because of the operating system's need to service its own threads – as well as those of other applications.
A thread is said to be preempted when its execution is interrupted due to an external factor such as time-slicing. In most situations, a thread has no control over when and where it's preempted.