Thats a rather vague question to ask. I think it all depends on how the internals of your MMOG work. If your system is threaded then yes you need to have threaded connections. If your internals run on a single thread then you mustn't let multiple instuctions into the system at the same time.

Have you ever spent time looking at Delphi's Intraweb stuff. Basically it creates a web server that supports multiple connections. Each connection actually has its own data module that stores the session information (including data connections etc). So each connection links its user into a seperate set of data (obviously all looking at the same database).