You can pick MSVC (in which case you have std::thread, but miss out on quite a few other things normally included in C++11).
You can alternatively pick MinGW. The 'default' MinGW does not include std::thread and has no plans to support them in the foreseeable future. The alternative is a perfectly fine replacement but they also don't have the most performant implementation right now (pthread vs native constructs).
Of course, there are boost::threads which should be pretty much identical to the std version but work fine on every platform.
Edit 2: never mind, conflated a few threads in my head and should have skimmed it again before adding that.