I have seen cgminer take a min or 2 to start showing work(depends on network speed load?)
Try without the cg.sh startup.
Go into the Cgminer folder. Right click and Open Command prompt here, then type ./cgminer.
It (cgminer) will then ask for your Pool info , then your user name , then password.
If it errors then the window will remain to show the error.
Think you just need to give it more time tho..lol
Edit: The Thread 1 being disabled is of no concern....it is running Dynamic so is only loading 1 of the 2 threads set as default. The threads are numbered 0,1 so you should still be getting thread (0).