I don't think it's as dependent on the operating system, as it is the application running. I don't think the operating itself has multi-threading technology specifically, but it can benefit from multiple cores because Windows has *tons* of programs running to manage your system, and since they're individual programs, some can run on one core while the others run on the other core.
Applications, such as games, need to be programmed to utilize more than one core. Processor intensive applications, such as video encoders, have taken advantage of this for a while now. The newer games are now starting to come that can use more than one core.
As long as you're playing a game that supports multiple cores, you should get significant performance increases. However, many non-game applications don't require more power than what a single core can give. So as far as other stuff goes, you'll simply notice the ability to have more applications running at once.
Though the multiple cores won't do you much good if you have something else, such as RAM, bottlenecking your system.
