I created new window and I used SlimDX.Windows.MessagePump.Run on a new thread. How can I stop that loop?
If you're passing in a Form as a parameter to MessagePump.Run, you can simply call Close() on that form, which will stop the message pump loop. That's how I did it in my 3DAPI. Look at this source document to see an example of how to do it (near the bottom of the file, in the DirectEngine class, on line 572).