Your operating system is already multithreaded. Your task would be easier suited to using that than the in-language thread support:

opendir(DIR, $directoryLocation);
my @files = grep(/\.html$/,readdir(DIR));
closedir(DIR);

my @cmd = qw( start perl c:/html2wordxml.pl );

foreach my $file ( @files ) {
  system( @cmd => $file );
}
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In other words, make a program that knows how to reformat a single file, and then call that program repeatedly without waiting for the last call to finish.