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....