There are two ways for multithreading:  
 
1.  The menu: advanced -> Multi-threading -> Multi-thread will automatically determine which part can be multi-threaded.  But it usually does not do very well in parallelization.  
 
2.  You can control multi-threading by calling tasks using "Call parallel".  This is the preferred way.   Before parallel calls, you can use SetDownloadParameter(threads)  to set the number of threads, default is 10 threads.  
 
Note that in parallel tasks, javascript pages will not be supported.  So you can only expect it to use raw HTML pages.  

It is simple.  Right-click the "Submit form with 'pubmed-key'" action, select "Events ...", and change the event's ValueType from "CallPath" to "Call parallel".  Done.  
 
But the pubmed robot may not work because it uses a lot of javascripts.