If you're talking about say the propeller of a ship, then imagine an inclined plane sitting in a body of water. Then, just move it straight up through the water. The water will exert a force on the plane perpendicular to the plane. There will be two components of that force, one being in the x direction, a thurst load wanting to push the plane horizontally through the water.
Just note that this is very simplified, I'm sure there are other effects, and there is probably a "stall" angle where for a given rpm, and angle, the screw won't want to produce any axial force (although I would think you could go with a higher angle on a screw than just a straight propeller). Anyways...