Simplest answer is volatile is not needed for multi-threading at all.
The long answer is that sequence points like critical sections are platform dependent as is whatever threading solution you’re using so most of your thread safety is also platform dependent.
C++0x has a concept of threads and thread safety but the current standard does not and therefore volatile is sometimes misidentified as something to prevent reordering of operations and memory access for multi-threading programming when it was never intended and can’t be reliably used that way.
The only thing volatile should be used for in C++ is to allow access to memory mapped devices, allow uses of variables between setjmp and longjmp, and to allow uses of sig_atomic_t variables in signal handlers. The keyword itself does not make a variable atomic.
Good news in C++0x we will have the STL construct std::atomic which can be used to guarantee atomic operations and thread safe constructs for variables. Until your compiler of choice supports it you may need to turn to the boost library or bust out some assembly code to create your own objects to provide atomic variables.
P.S. A lot of the confusion is caused by Java and .NET actually enforcing multi-threaded semantics with the keyword volatile C++ however follows suit with C where this is not the case.