Are you interested in the thread safe version of Ghostscript, or multiple rendering threads?
Multiple rendering threads are only of use if you are producing high resolution output, since the code must first interpret the PostScript program (or PDF file) and create a display list for the rendering threads to operate on. Unless you are rendering to a reasonably high resolution, this will actually be slower than using page mode (whole page rendered in memory)
You can create multiple rendering threads in the pre-built version of Ghostscript using the -dNumRenderingThreads switch.
If you want a thread-safe version of Ghostscript then you will need to be able to compile Ghostscript yourself. What version of Visual Studio are you using ? I am using Visual Studio 2005 and 2008 and the supplied solution works for me (after appropriate conversion).