Are you saying you don't have fastthread cuz you didn't install it or did you check "gem list" and it's not there. The gem is installed on my dev machine and at least one server but I never specifically installed it... so something pulled it in.
Sounds like you have an old verison of mongrel. You should be using 1.0.1. What version of mongrel do you have installed? You could just gem update mongrel and you will get the latest + fastthread.
Hmm I don't know, I haven't used windows in a few years. But when I do a gem install of fastthread there is a pre built win32 port. So I suggest you install it:
ez slices $ sudo gem install fastthread
Need to update 13 gems from http://gems.rubyforge.org
.............
complete
Select which gem to install for your platform (i686-darwin8.8.1)
1. fastthread 1.0 (ruby)
2. fastthread 1.0 (mswin32)
3. fastthread 0.6.4.1 (ruby)
4. fastthread 0.6.4.1 (mswin32)
5. Skip this gem
6. Cancel installation