What is meant by a multithreaded program in Java?

A multi-threaded program contains two or more parts that can run concurrently and each part can handle a different task at the same time making optimal use of the available resources specially when your computer has multiple CPUs.
Multi-threading enables you to write in a way where multiple activities can proceed concurrently in the same program.

Example

class RunnableDemo implements Runnable {
   private Thread t;
   private String threadName;
      RunnableDemo( String name) {
         threadName = name;
         System.out.println("Creating " + threadName);
      }
      public void run() {
      System.out.println("Running " + threadName);
      try {
         for(int i = 4; i > 0; i--) {
            System.out.println("Thread: " + threadName + ", " + i);
            // Let the thread sleep for a while.
            Thread.sleep(50);
         }
      } catch (InterruptedException e) {
         System.out.println("Thread " + threadName + " interrupted.");
      }
   System.out.println("Thread " + threadName + " exiting.");
   }
   public void start () {
      System.out.println("Starting " + threadName );
      if (t == null) {
         t = new Thread (this, threadName);
         t.start ();
      }
   }
}
public class TestThread {
   public static void main(String args[]) {
      RunnableDemo R1 = new RunnableDemo( "Thread-1");
      R1.start();
      RunnableDemo R2 = new RunnableDemo( "Thread-2");
      R2.start();
   }
}

Output 

Creating Thread-1
Starting Thread-1
Creating Thread-2
Starting Thread-2
Running Thread-1
Thread: Thread-1, 4
Running Thread-2
Thread: Thread-2, 4
Thread: Thread-1, 3
Thread: Thread-2, 3
Thread: Thread-1, 2
Thread: Thread-2, 2
Thread: Thread-1, 1
Thread: Thread-2, 1
Thread Thread-1 exiting.
Thread Thread-2 exiting.