My understanding was that Windows didn't support true multithreading until NT4 and Win95, and that even then the implementation was lacking (changes that Win2K/XP/2003 have improved significantly upon)
I always thought Windows 95 did not have anywhere near a multitasking system. It emulated, sure, but thats about it though. Infact, im pretty damn sure they never really attempted to make any real steps at all towards a real multitasking OS intil CE came out.