Unfortunately Microsoft does not support pthreads on Windows (pthreads is an OS library, not a PGI library). You will either need to use WinSock (Microsoft’s threading library), OpenMP, or switch to Microsoft’s UNIX like environment SUA (subsystems for UNIX applications).
Which gcc are you using? There is third party Win32 port of pthreads (http://sourceware.org/pthreads-win32/) which I think MinGW might include (or at least can be used with MinGW). While I have not tried pthreads-win32 myself, it might work with our 32-bit compilers as well but obviously not the 64-bit compilers. Also, I believe Cygwin offers pthread support but it’s not native Windows and is 32-bit only (at least from what I remember).