The data you are refering to is available using specific WMI calls. You can query Win32_Process to get all sorts of process specific information, and query Win32_PerfFormattedData_PerfProc_Process to get the thread count, and given a handle to a thread (what I believe your looking for) you can query Win32_PerfRawData_PerfProc_Thread to get the percent of processor time used.
There is a library available for Delphi which provides wrappers for most of the WMI queries, however it will take some experimentation to get the exact query your looking for. The query syntax is very sql like, for example on my system to return the percent of processor time for threadid 8, for process id 4 is:
SELECT PercentProcessorTime FROM Win32_PerfRawData_PerfProc_Thread
WHERE IdProcess=4 and IdThread=8
Most of the programs which present statistical information about running processes now use WMI to query for this information.