>    Did egcs have a built-in thread library?

egcs in itself does not have a thread library.

>    If not, where can I find one?

glibc 2 (aka libc 6) comes with a pthreads implementation.

>    What is the different between "/usr/include/pthread.h" and 
> "/usr/include/pthread/mit/pthread.h"?

To get files from /usr/include, write

#include <pthread.h>

pthread/mit/pthread.h is specific to some implementation of pthreads,
don't use it. Use <pthread.h> instead.

Martin

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