Learn them all (one at a time) and also WINAPI threads. They all do more or less the same thing. You'll probably want to prefer C++ threads, though, since it'll end up being the most portable. A typical thread lib doesn't really have an overwhelming number of components for you to learn. The problem is learning to use them in a sane fashion.
What multithreading library would you recommend for C++? POSIX, boost?