pthread.h
is a header for the Unix/Linux (POSIX) API for threads. A POSIX layer such as Cygwin would probably compile an app with #include <pthreads.h>
.
The native Windows threading API is exposed via #include <windows.h>
and it works slightly differently to Linux's threading.
Still, there's a replacement "glue" library maintained at http://sourceware.org/pthreads-win32/ ; note that it has some slight incompatibilities with MinGW/VS (e.g. see here).