M$ has a set of utilities called kernel toys. in it is a program called wintop. (like the top program in *nix).. it'll give you the run down on % CPU utilization, threads, and memory allocation of each program.. go the the M$ website to see if it's still obtainable.
in addition to the kernel toys, there's the power toys as well, but I'm not sure if the power toys will be ME compatible or not... (not very useful IMHO except tweakUI)