autosignon must be set if you wish to use multithreading feature (MP Connect).
Something may be wrong with your setup.
MP Connect will run on a single CPU (although internally, it should clearly be round robin processing).
I have ran the exact same code (with the autosignon=yes) asynchronously on my workstation (WinXP P4 with single CPU) with no problem at all.
Could you try the following code, to see if it works on your installation:
http://support.sas.com/documentation/cdl/en/connref/61908/HTML/default/a001249955.htm
Cheers from Portugal.
Daniel Santos @
www.cgd.pt