If you are looking to copy only those files that have been modified/changed from the pool of thousands of other files, then it is unquestionably a difficult task. I have personally seen users making complicated scripts for such a task, if you are an ordinary computer user with no programming background, you are still lucky.
CopyChangedFiles is a tiny free portable utility for Windows that only copies the files that have been modified by the user on or after a specific date. And yes, it does support Multi-Threading. Just select the from and to destinations, select the changed on or after date, the file types and hit Copy.
So what’s the use you ask? Various, among them the most important use that comes in my mind is to make incremental backups. According to the developer another usage is when you have a lot of customer websites that you maintain and only want to update the changed files.
It works on all versions of Windows. Enjoy!