Think of threads as state machines. At the OS level, you have to track a lot more, because you have to service any process that can create a thread. Within your constrained environment, your 'thread' can be something as simple as a small data structure or record that does something when a message is passed to it or a function is called on it. The services you provide to each of your 'threads' can be lightweight, intelligently aggregated and prioritized, and can have only the memory allocated that is needed for the representation of that structure.

Think of a thread as if it were an object in C#, Java, whatever. Stuff happens to it, and it does stuff, but it's all based on propagation of state changes. It can be processing in serial, but because of the abstraction, it will appear to be concurrent, and therefore, effectively BE concurrent.