As mentioned on the Zend Developer Zone, there's a new tutorial posted on the IBuildings blog (by Lineke Kerckhoffs-Willems) about performing some multi-threading magic in PHP with the help of cURL.
Each PHP request is a separate thread. There are some workarounds like using pcntl_fork, starting multiple commandline php processes using the exec command or even using ajax. Another possibility is using the Curl library. Besides the basic functions described above Curl offers the "multi" functions for retrieving content from several url's at the same time.
Examples are included showing how to make these "multi" requests via PHP's cURL support (calling URLs with a "seconds" value on the end).