Hi Vass and thanks again!
I am a little worried we may be talking at 'cross purposes'!?  Sure, Arena can give troubles but the point is I am perverse! -- I actually enjoy the challenge of getting the best from engines in Arena and WinBoard and the 'learning' that goes with it! I am actually a good 'googler' (my work requires it!) but there's very little good online help with these things (and Arena's help file is useless!). So I may be slow but what I still don't get is how I can change an engine's 'thread' (or other) parameters except by doing it within the GUI. For example, I understand that when Robbolito's black screen says '4 CPUs found, using 4 threads' it means '4 threads found', but should I be changing this via the black screen (then saving that engine somehow)?? I can't find anything on this, nor on how to load two engines simultaneously in Arena to analyse the same position.

Thanks for the POPCYNT info! I couldn't find precisely that online either! How did you acquire your knowledge? Probably not chiefly by googling! I think you are a 'natural' ... (And I freely admit, I am a 'clot' ... )

Well, well, well - too many questions, indeed! 
Michael, most of the questions can be answered by Uncle Google. For example, look at the processor you have: Intel(R) Core(TM) i3 CPU 540 @ 3.07GHz
http://ark.intel.com/products/46473/Intel-Core-i3-540-Processor-4M-Cache-3_06-GH...
Pointng your mouse on "# of Cores" or "# of Threads" and so on...there and clicking on them you can see the definitions, such as: "A Thread, or thread of execution, is a software term for the basic ordered sequence of instructions that can be passed through or processed by a single CPU core."
Althouh the language is somewhat technical, you have to browse through most of these categories in order to be able to explain for yourself all unclear points you have up to now.
I see you have black screens when you click on Strelka 6 x32 and Protector x64 only.
I never used Protector, so I can tell you nothing about it.. As for Strelka 6, I'm sure this engine doesn't have parameters (it's a raw version of Houdini, after all), so it cannot return you even a single piece of information. (Suppose, the case with Protector is the same.)
Anyway, it seems your processor is a "modern" one and supports all SSE.., AVX and so on versions of the engines. From the abovementioned site when clicking on "Instruction Set Extensions" for your processor (SSE4.2): "Instruction Set Extensions are additional instructions which can increase performance when the same operations are performed on multiple data objects. These can include SSE (Streaming SIMD Extensions) and AVX (Advanced Vector Extensions)."
Some engines (when you click on their exe files in your Windows Explorer) read your PC configuration and return pieces of information, which can be very different at first sight. Well, don't worry - they cannot read different things on your PC! You know you have one processor with two cores (which have two threads each - summing up to 4 thread in common). As for how each engine will return information to you (2 processores, 4 threads or two cores...) is another story. When you know what you have you'll understand what they mean..
I definitely don't use Arena although I have it on my PC. I recommend you to buy (at a discount) an old version of Fritz (say 11, 12 or 13 version - the last version is 14 and has some new features which are not important for you in connection with installing engines and so on) and to forget all your troubles with Arena.
As for Arena 3.5 - it's a free GUI which can do many things but is somehow poor in details when you have to do something different than just "kick and rush". My major tip here can be: First see how the engine-exe returns information about your PC when clicking on it! Then go to the major Settings menu (right-clicking cannot be a serious attempt to fix something ) and try to "untick" all the common settings. Install engines one by one (after knowing how the given engine reads the configuration of your PC) and configure every engine for itself cosidering its specific features (some of them "say" cores, some "say" threads...but you'll know what they really mean), configure the number of cores and threads they should use as you want.
Let me say one important thing here: Your processor has 2 cores, which have 4 threads in common. Most of the chess engines are designed to use real cores in the manner [one core (two threads) - one engine]. Don't try to fix and change parameters in order to use 4 engines on all 4 threads simoultaneously. It will definitely freeze your computer...and the engines won't run. Every engine, when started, is trying to use one core (and not one thread out of this core). Threads can help for other tasks, such as....when you run a chess engine on two cores simultaneously and trying at the same time to open a program or browse the Internet, one of these 4 threads will fulfil the task preventing the freezing of your PC (and then will return to fulfil the tasks of the chess engine). So, the maximum of your processor is to run an engine on 2 cores (say, for faster analysis), or to run two engines simultaneously on one core each. Every try to run two engines that are set to use two cores each will bring the performance of your PC to a freezing. And that's because they both try to use two cores (2 x 2 = 4 cores), but you have only two, so they'll try to use two threads each instead of two cores each (because there are no others available) and therefore all your 4 threads will be taken by the two engines (and not a single thread will be left untaken) - therefore even a click with your mouse will struggle for the resources of your PC...and the engines are usually very hungry for resources, especially Houdini.... 

Well, I'm not an expert, but I'll try to give you some tips.
As long as I know all Intel(R) Core(TM) i3 CPU-s have 2 cores, which means you can use both for analysis simultaneously or separately. You can play matches between engines with "ponder-on"giving one core to each engine...and so on.
When you install an engine on your PC, you'll have to go to the parameters of the engine and give it the number of cores you wish to use. Most of them automatically read your PC and take all the cores of your PC, but not all of them. The number of cores is under the parameter "threads". Don't try to give all your 4 threads on an engine, because your computer can become irresponsible to commands and even if it doesn't happen, it is counter-productive for the analysis. So, under parameters' "threads" you always have to understand real CPU-cores.
For example, you can install an engine twice - the first time on 2 cores, while changing the threads' parameter to 2 and use this engine for analysis on two cores....and the second time to install it on one core (changing the name of the engine like this: Stockfish 5_1core) to use it for games between engines or for analysis on one core. And if you have two engines installed on one core you can easily run them both simultaneously to analyse a position and see the differences they show.
As for how to determine which version of the engine you can install on your PC, say Stockfish, you can easily see if your CPU supports the instructions that are put into the engine from the CPU-Z screen. And even if you are not sure about it, you can double-click on any engine exe in your Windows Explorer - if you see a black screen only, with no information, then your CPU doesn't support this version of the engine, while if you see the same black screen, but with the information for your PC about cores, threads and so on, then your CPU supports this version of the engine.
Of course, if you can use the modern versions of an engine it will be better, because you will gain speed - the specific SSE.., AVX and other CPU instructions help the modern engines to perform faster.
And yes, running analysis on Multi PV is slightly weakening the performance of the engine, because the engines are created for being "warriors" - to fight and win against alikes.. No one created an engine to be good for analysis.
Here I uploaded some tests in pgn, cbv and epd format that some friends of mine gave to me:
http://www19.zippyshare.com/v/89246204/file.html - tactical positions tests
http://www19.zippyshare.com/v/97036595/file.html - endgame tests
Feel free to use them! My friends tell me that a standart test for an engine is to give it a set of 100 tactical positions, giving the engine 2 minutes on each position on one CPU core. Therefore the performance of every engine is counted in per cents automatically - say, Stockfish's performance is 35 out of 100 (35%), Houdini's one 38 out of 100 (38%) and so on..
I myself, never ran a test on my own.. 

Hi, Michael!
As Jury Osipov himself said, Strelka 6 x32 is a decompiled one-core x32 only engine by reversed engineering from Houdini 4 with some minor changes that he mentioned, too. Here comes the question: why use an x32 version of Houdini 4 on one core, when you can use Houdini 4 on four cores, for example?
The GUI you use doesn't count in testing/analysing if you properly put the parameters of your engines.
Hardware is an important factor, yes, because the best engines are usually made for high-end hardware.
Well, your Intel(R) Core(TM) i3 CPU 540 @ 3.07GHz is not a high-end processor, but is still "modern" and you don't have to have big deviations in your engine tests.
The "professional testers" say that if you want to make a valuable test you have to make a big match between two engines in order to see which one is better. They say, that even 5000 games on a fixed time control are not enough and give some high-sophisticated mathematical values which show that even a match from 10000 games can be only 95% reliable.
Anyway, there are several test matches between Strelka 6 x32 and Stockfish 5 that show that Strelka 6 is designed for blitz time control and can hold against Stockfish for 200-300 games, but when you prolong the test you'll see that Stockfish 5 will win convincingly after all. As for the long time controls, Strelka 6 will not perform well against Stockfish 5 if you let the last to use more than one processor's core.
There are several suites of tactical (and other) positions which are used by the testers to test the engines. And I've never been interested in, but if you want, I'll try to supply you with some of them.
I think you can use Stockfish 5 modern version - you can see what kind of instructions (SSE.. AVX and so on..) supports your Intel(R) Core(TM) i3 CPU 540 @ 3.07GHz by downloading a nice tiny program CPU-Z, completely free from the Internet (I think it's a little exe-program that doesn't install on your computer). Of course, if your processor supports these instructions, then the "modern" engines can perform far better on your PC than the "old" ones.
That's it! 

Smyslov_Fan wrote on 06/11/14 at 15:47:43:

I agree with that.
IMO a centipawn is a different "currency" depending on the engine. 
Stockfish may show -1 ; Critter may show -1.5.  Despite the different numbers, I don't think we can say that Critter necessarily gives a greater advantage to Black in that case.  Certain engines may not even be based on the 1.00 = 1 pawn standard.  And that is not even considering the variable relative strength of pawns (e.g., a protected passed pawn on e6 could be worth a rook).

We need a conversion table in order to compare a debt of one Euro (currency) to a debt of two US dollars.  Same with evaluations of two chess engines IMO.

Different engines may also have different thresholds for what is considered a "clear advantage" versus a "decisive advantage."

Of course the real answer to the OP query is, "unless you are a  professional, it doesn't matter, just use one of the top engines," but that sounds cynical.

As a chess book reader, I sometimes feel that the authors could have suggested moves/plans in positions with unbalanced material. I recall the queen sac line in the Safest sicilian. Playing such positions can be tricky since one does not practise them often.

I've also played CC. (I have 2370 on ICCF I think.) It's of course true that even after much analysis, the lines can be difficult to evaluate, but trying them is of course better than just stopping at the said position. If all positions could be easily evaluated after some computer analysis, we wouldn't have CC.

TheDragon wrote on 06/10/14 at 15:39:51:

I think it really depends on the position, sometimes all engines overvalue the side with the queen, sometimes they all undervalue the side with the queen