Let me give an example.
An OS can have a bunch of processes, for instance, MS Word, Netscape Navaigator. Your Java Application is one process.
A thread means a thread of control IN A PROCESS. In a process,
they are usually sevaral threads. Take MS Word as an example.
After you begin MS Word process, it has at least one thread handling your keyboard input, one thread handling spelling error, one thread handing auto complete. Wht I am talking may not be technically precise, but it can give you an idea that we are talking about threads in a process. In another word, guest's answer is absolutely right, albeit a little bit simple.