#include <boost/thread/tss.hpp>
static boost::thread_specific_ptr< MyClass> instance;
if( ! instance.get() ) {
    // first time called by this thread
    // construct test element to be used in all subsequent calls from this thread
    instance.reset( new MyClass);
}
    instance->doSomething();

It is worth noting that C++11 introduces the thread_local keyword.

Here is an example from Storage duration specifiers:

#include <iostream>
#include <string>
#include <thread>
#include <mutex>

thread_local unsigned int rage = 1; 
std::mutex cout_mutex;

void increase_rage(const std::string& thread_name)
{
    ++rage;
    std::lock_guard<std::mutex> lock(cout_mutex);
    std::cout << "Rage counter for " << thread_name << ": " << rage << '\n';
}

int main()
{
    std::thread a(increase_rage, "a"), b(increase_rage, "b");
    increase_rage("main");

    a.join();
    b.join();

    return 0;
}

Possible output:

Rage counter for a: 2
Rage counter for main: 2
Rage counter for b: 2

boost::thread_specific_ptr is the best way as it portable solution.

On Linux & GCC you may use __thread modifier.

So your instance variable will look like:

static __thread MyClass *instance = new MyClass();