On Windows the installation is as follows:
Download the pthreads that matches your php version.
I found mine at: http://windows.php.net/downloads/pecl/releases/pthreads/
(I used version 0.44 wich is the newest at the time of writing this, and then downloaded the one for php 5.3 which is the version I am using).
Extract the zip.
Move php_pthreads.dll to the php\ext\ directory.
Move pthreadVC2.dll to the php\ directory.
Open php\php.ini and add
You are done.
Information for installing this PECL extension may be found in the manual chapter titled Installation of PECL extensions. Additional information such as new releases, downloads, source files, maintainer information, and a CHANGELOG, can be located here: » http://pecl.php.net/package/pthreads