I have an application with 4 threads working the same code. However, when I step it jumps between the different threads. How can I lock it to one thread so the other threads
This strongly resembles a very similar problem in Visual Studio 2008 SP1. It was fixed with a post-SP hotfix. But there's other evidence that the hotfix didn't get incorporated into the code base, this feedback item was also a problem. It isn't that unusual for hotfixes to not get integrated back.
There isn't a feedback item that exactly describes your problem, at least that I can find. I'd recommend you file one. Given the usual trouble with reproduce bugs like this, I'd strongly recommend you include a reproduction project that exhibits this problem with instructions on how to reproduce the issue.
There is a workaround of sorts for your issue, you could go into Debug + Windows + Threads, right-click the threads you don't want to debug and select Freeze. Don't forget to Thaw them later.
These bugs were fixed again in Visual Studio 2010 Service Pack 1.