Multi-threading is useful in any situation where a single thread has to wait for a resource and you can run another thread in the meantime. This includes a thread waiting for an I/O request or database access while another thread continues with CPU work.
Multi-threading is also useful if the individual threads can be farmed out to diffent CPUs (or cores) as they then run truly concurrently, although they'll generally have to share data so there'll still be some contention.
I can't see any reason why a multi-threaded Sudoku solver would be more efficient than a single-threaded one, simply because there's no waiting for resources. Everything will be done in memory.
But I remember some of the homework I did at Uni, and it was similarly useless (Fortran code to see how deep a tunnel got when you dug down at 30 degrees for one mile then 15 degrees for another mile - yes, I'm pretty old :-). The point is to show you can do it, not that it's useful.
On to the algorithm.
I wrote a single threaded solver which basically ran a series of rules in each pass to try and populate another square. A sample rule was: if row 1 only has one square free, the number is evident from all the other numbers in row 1.
There were similar rules for all rows, all columns, all 3x3 mini-grids. There were also rules which checked row/column intersects (e.g. if a given square could only contain 3 or 4 due to the row and 4 or 7 due to the column, then it was 4). There were more complex rules I won't detail here but they're basically the same way you solve it manually.
I suspect you have similar rules in your implementation (since other than brute force, I can think of no other way to solve it, and if you've used brute force, there's no hope for you :-).
What I would suggest is to allocate each rule to a thread and have them share the grid. Each thread would do it's own rule and only that rule.
Update:
Jon, based on your edit:
[edit] I forgot to mention, the number of threads to be used is specified as an argument to the program, so as far as I can tell it's not related to the state of the puzzle in any way...
Also, there may not be a unique solution - a valid input may be a totally empty board. I have to report min(1000, number of solutions) and display one of them (if it exists)
It looks like your teacher doesn't want you to split based on the rules but instead on the fork-points (where multiple rules could apply).
By that I mean, at any point in the solution, if there are two or more possible moves forward, you should allocate each possibility to a separate thread (still using your rules for efficiency but concurrently checking each possibility). This would give you better concurrency (assuming threads can be run on separate CPUs/cores) since there will be no contention for the board; each thread will get it's own copy.
In addition, since you're limiting the number of threads, you'll have to work some thread-pool magic to achieve this.
What I would suggest is to have a work queue and N threads. The work queue is initially empty when your main thread starts all the worker threads. Then the main thread puts the beginning puzzle state into the work queue.
The worker threads simply wait for a state to be placed on the work queue and one of them grabs it for processing. The work thread is your single-threaded solver with one small modification: when there are X possibilities to move forward (X > 1), your worker puts X-1 of those back onto the work queue then continues to process the other possibility.
So, lets say there's only one solution (true Sudoku :-). The first worker thread will whittle away at the solution without finding any forks and that will be exactly as in your current situation.
But with two possibilities at move 27 (say, 3 or 4 could go into the top left cell), your thread will create another board with the first possibility (put 3 into that cell) and place that in the work queue. Then it would put 4 in its own copy and continue.
Another thread will pick up the board with 3 in that cell and carry on. That way, you have two threads running concurrently handling the two possibilities.
When any thread decides that its board is insoluble, it throws it away and goes back to the work queue for more work.
When any thread decides that its board is solved, it notifies the main thread which can store it, over-writing any previous solution (first-found is solution) or throw it away if it's already got a solution (last-found is solution) then the worker thread goes back to the work queue for more work. In either case, the main thread should increment a count of solutions found.
When all the threads are idle and the work queue is empty, main either will or won't have a solution. It will also have a count of solutions.
Keep in mind that all communications between workers and main thread will need to be mutexed (I'm assuming you know this based on information in your question).