Unless you're on a terminal - i.e. the monitor/keyboard it's just a remote station for accessing the same processor(s)/operating systems (as often for multiuser unix machines), that's not immediate.

If u're talking windows, the o/s on your machine is going to load and execute the exe (and thus the jvm instance), wherever it resides. The operating system loader will just take the executable image from a remote disk, and that's it: execution will still occur on your local machine's cpu.

Why do u need "a new thread for each user"? Maybe for sharing some data among threads? Client/server models are there for that; or peer-to-peer with a data synchronization mechanism..