Almost all modern PCs are sold with processors that support multiple CPU cores. Basically what this means is that the processor has multiple CPUs that can do more work then a single CPU by itself (there are advantages and disadvantages to this technology that I need to discuss at a later time).
If your computer's processor supports multiple cores, then Windows Vista allows you assign a process to a specific CPU or set of CPUs. This is known as setting the processors 'Affinity'. Normally this is handled by the OS, but this feature allows you to override this function.
Open the Task Manager (press Shift+Ctrl+Esc at the same time), select process from the Processes tab then right-click it, and then select 'Set Affinity'. From here you can select or deselect one or more of the cores.
Ideally what you're trying to achieve is isolating the process to a specific CPU and boosting its efficiency. I have to note that your 'mileage will vary' from process to process so you will need to test it and see if you get better performance.