FreeRTOS threads are quite similar to threads in Windows or Linux or other OSes. It is a software concept of multiple executions paths (thread functions) running in a shared memory space, but with one stack per thread. I.e. local variables are defined per-thread.
If you look at the hardware, a 4 core 8 thread CPU has hardware support for running up to 8 threads in parallel, whereas on a single core MCU the threads are executed on the same core and the OS scheduler switches between threads by saving the state of one thread and restoring the state of the next thread due in short time slices (pre-emptive multitasking). On the above mutli-core CPUs, some threads can be executed truely in parallel thereby saving most of the scheduling overhead.
There are subtile differences like real-time requirements which are absent on most desktop OSes, hanlding priorities in detail etc..
On a desktop OS are more concepts of parallel execution present like processes and fibres which are not present in FreeRTOS.
hth
KnarfB