The preferred way is to modify the code so that it doesn't block without checking for cancellation.
Since you can't modify the code, you can't do that; you either have to live with the background operation (but you can disassociate it from any UI, so that its completion will be ignored); or alternatively, you can try terminating it (TerminateThread API will rudely terminate any thread given its handle). Termination isn't clean, though, like Rob says, any locks held by the thread will be abandoned, and any cross-thread state protected by such locks may be in a corrupted state.
Can you consider calling the function in a separate executable? Perhaps using RPC (pipes, TCP, rather than shared memory owing to same lock problem), so that you can terminate a process rather than terminating a thread? Process isolation will give you a good deal more protection. So long as you aren't relying on cross-process named things like mutexes, it should be far safer than killing a thread.
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