This week's book giveaway is in the General Computing forum. We're giving away four copies of Arduino in Action and have Martin Evans, Joshua Noble, and Jordan Hochenbaum on-line! See this thread for details.
The Thread.start() method returns pretty much immediately, but it takes some time for a thread to get going. The thread that called start() (i.e., your main thread) keeps running while the newly-created thread gets ready to go. By the time that new thread starts actually running Java code, the original thread will have executed many instructions.
So the main thread here calls start(), then immediately calls doIt(), which prints a message. All the while, the new thread is being initialized. Finally, some time after doit() is called, the new thread starts to execute your code.