.NET 4.0 adds parallel extensions that make it easier to perform certain tasks in parallel rather than serially. Most specifically, you can perform multiple iterations of a For or For Each loop simultaneously with essentially no extra code. That doesn't make it more multi-threaded than previous versions though, where you could do the same but it would require extra code.

Whether or not multiple threads would run faster on a single core would depend on exactly what work is being done. Remember that your app is sharing time with other processes anyway.