1. "Options->Job Setup->Max Jobs"
This controls the number of parallel simulations that may be run at once in ADE XL. If you are using multiple tests in ADE XL, or corners, or sweeping variables or parameters, each one of these counts as a "job", and they can be run in parallel (on the local machine, on a remote machine, or distributed using a queueing system). Also if using Monte Carlo, it can break up the number of monte carlo points into chunks, based on the number of available parallel runs.
2. "Options->Run Options-> Run In"
This is not that useful - it's more to do if you hit the "Run" button again before existing jobs have finished - maybe having changed some setup.
3. "High-Performance Simulation->Mode, Multithreading options, Affinity"
This allows an individual simulation job to take advantage of multi-core technology and do things like the matrix solve in parallel - so it can speed up an individual simulation. Processor Affinity should be left alone (it allows you to get absolutely the best performance by telling the simulator which CPUs in a multi-core machine are to be used, but this is only ever useful if you have complete control over the machine you're running on, and has to be set carefully and is not normally worth the bother of setting)
4. "Options->Analog->Multithreading Options"
This is pretty much obsolete nowadays - it was an earlier form of (limited) multithreadhing. It controls the same thing that's on the High Performance Options setting now - but that's the preferred location (the high performance options) to set multi-threadhing.