What is it that you want to do multi threaded?
Essentially, VFP doesn't support multithreading.
However, you can accomplish MT to a certain extent by building routines with no UI into a multi threaded DLL (which is an option when building an app from a project with VFPv6 (SP5 I think) and newer). Then, when calling the routines in that DLL, presumably they run multithreadedly.
However, if VFP is the calling program, since it can only call one routine at a time, this would seem to offer limited benefits, unless several VFP programs running on the same machine are calling the DLL routines at the same time.
Because of this, the MT DLLs seem most useful in a web server situation, where many (web) clients actually might be calling the routines in the DLLs at the same time.