It does do threads but I don't know how well they're supported yet.
If you want to get experience with threads, you can get boost -- it's another lib but it's very easy to install. And boost's thread API is 100% identical to C++11's thread API as far as I've been able to tell (only the namespace name is different).
It's not quite compliant but it's close enough to be interchangeable for the most part.
GCC and clang headers should have a working thread library... not sure about VC++.
@greenleaf I use VC++2008 for one of my projects, and I use Sublime Text 2 with the SublimeClang plugin for everything else (and obviously clang to compile for C++11)