How to serve unmanaged threads via a managed process

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.NET

Trying to design something like ASP.NET, but need further understanding as to how to go about programming/designing it.

There would be a lot of unmanaged threads which needs to be served by a managed process (DLL). I know just one way to do this:

1. host the CLR from the unmanaged thread (using COM interfaces)
   
2. Create the AppDomain and load the required assembly
   
3. Call the method in the managed assembly to do the serving (this method updates a data structure which contains data will need to get further processed by the unmanaged thread)
   
4. unload the appdomain and clr
   

But is this way recommended? Because each time you are creating the CLR and destroying it. I sense there must be a performance hit there. Can we obviate this?