Yeah, ozak is right, while BlitzMax doesn't support threading, you can simulate it with some careful programming.
While this is technically true, it's practically useless. First of all, the ammount of data you can load today in say, 2 millisecs is going to be less than you can load in 5 years. Second of all, the instance your application tries to do I/O it gets kicked out of the short term scheduling queue, and doesn't get back in, until I/O is finished.So while it's technically possible it will come with a huge performance hit compared to using threading, where your game will keep runnning until it's preempted.