Threading is an Indian hair removal technique. A cosmetic application especially for removing/shaping eyebrows. It has been made popular in Western countries in recent years.
It involves double-twisting a thin cotton or polyester thread. In order to remove unwanted hair, it is rolled over the area to be shaved. This method of hair removal is different from tweezing, where single hairs are pulled out one at a time.
Here is a pictorial steps on how to twist the thread.
Watch how eyebrow threading is done: