Referencing this question: http://stackoverflow.com/questions/435492/is-asp-net-multithreaded-how-does-it-execute-requests, would this be a correct interpretation of threading: ASP.NET has one worker process per application instance. It is multi-threaded, using its own application pool. The majority of threads are used for servicing (user) request. Each request (user session) is one thread. The corresponding response may be another thread. User request come as multiple threads from ISAPI, which is itself multi-threaded.
AJAX is not multi-threaded. It uses the same threading model as non AJAX websites. The page request (ajax or non ajax) may cause multiple threads to be used on the server but it is still one thread on the client (browser uses a single thread).