The Threads page shows you the number of threads currently being executed by MySQL. Each query sent to MySQL is executed in a thread. The Threads feature should be used to check which queries are being executed presently. It just gives you a general sense of what is keeping your server busy at that very moment.
However, this feature is not the right tool to review statistical information about the queries executed on the MySQL server over a period of time. For finding problem SQL, for example, you should use the Query Analyzer which takes a snapshot of queries, their execution times, etc. over a period of time and presents you with a consolidated report. You can then use the report for further analysis; you can even export it as CSV and run it through other tools!
The view can be filtered and sorted as described subsequently. Columns include the connection ID, the connection's status, and the text of the current query. From this display you can select a query to view, copy, explain or kill a query. The 'Settings' icon for the respective server thread table allows you to change the PROCESSLIST query to display information that only you want. This gives you unprecedented flexibility to filter data.
NOTE: This feature is available in Monyog Professional, Enterprise and Ultimate.