Debugging Tools for Windows; link for reference:
http://www.microsoft.com/whdc/devtools/debugging/default.mspx
I installed it both on a 32-bit Windows 7 machine and a 64-bit Windows 2008 server. Apparently, the Debugging Tools option under the Common Utilities is the one that allowed Process Explorer to show me the threads of a process. This is really the ultimate icing on top of the Process Explorer cake!
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