The DAQ callback will execute in whatever thread you call Config_DAQ_Event_Message from. If you want it to run in another thread, create that thread and then call the event function inside that thread. You will need to be processing messages in that thread though (RunUserInterface or ProcessSystemEvents).
Windows OS's does not allow any way for you to specify processors, the OS does this automatically. UNIX OS's typically allow you to specify processors like this.
Best Regards,
Chris Matthews
National Instruments