We can user Inner Join to access record from more than two tables.
Here is the way to user Inner Join:
$criteria->with=array('messageto'=>array('on'=>'t.authorId=messageto.authorId' ,'joinType'=>'INNER JOIN'));
$criteria->addCondition("t.threadOf=0AND messageto.messageStatusId=1 AND messageto.memberId=".$currentUserId);
$criteria->together=true;
$dataProvider=newCActiveDataProvider('Message', array('criteria'=>$criteria));