Multi-threading in PHP

Is it possible to create multi-threaded applications using PHP?
I know that this is not a specific PHP-GTK question, but I think it's only
usefull in stand-alone applications.

What I want sounds simple: I want to download multiple files via HTTP (using
fsockopen, fgets, fputs, etc) while the GUI keeps responding to userinput
(ie., to cancel one of the downloads).

A possibility is to create multiple instances of a php-script (using exec or
something), but I can't think of a good way to communicate between the
instances. I don't want to use a database (most client-computers don't have
MySQL running), and using files to communicate seems to slow because you
need to check for changes every second or so.

Any ideas?

Thanks in advance,

Sander