A "thread dump" is basically a stack trace of every thread in the JVM, at the time of the dump. It is generally useful, if you have exhausted every other option. It generates too much data for my liking.
Anyway, with Unix/Linux, you can obtain the dump by sending a signal 3 to the PID of the JVM. With Windows, I believe this can be obtained via a CNTRL-BREAK, in the command windows of the JVM.
A brief Google tells me that Henry was correct. The thread dump should be in dump-out.log. Where that log file is created I don't know, but based upon experience I would say it's probably in the folder the process was started from.
Apparently it's platform dependent. When I send signal 3 to one of my XMLRPC servers on one of our Linux boxes I get the dump scrolled in the terminal window. I'll paste it so you have some idea of what it might look like: