No, the startup function for beginthreadex() must be __stdcall.  From 
the docs:

start_address
Start address of a routine that begins execution of a new thread. For 
_beginthread, the calling convention is either __cdecl or __clrcall; 
for _beginthreadex, it is either __stdcall or __clrcall.

(__clrcall is for managed code which doesn't apply).

Do not confuse beginthreadex() with CreateThread even though they have 
similar arguments.  The former is for use with programs using the crt.

See http://msdn.microsoft.com/en-us/library/kdzttdcb.aspx for details.

Amaury, Where did you find the value 1088 for maximum TLS slots?  The 
documentation mentions the error condidion TLS_OUT_OF_INDEXES (which I 
should check for, I suppose), but nothing else.