How to make thread sleep less than a millisecond on Windows

As Joel says, you can't meaningfully 'sleep' (i.e. relinquish your scheduled CPU) for such short periods. If you want to delay for some short time, then you need to spin, repeatedly checking a suitably high-resolution timer (e.g. the 'performance timer') and hoping that something of high priority doesn't pre-empt you anyway.

If you really care about accurate delays of such short times, you should not be using Windows.

This indicates a mis-understanding of sleep functions. The parameter you pass is a minimum time for sleeping. There's no guarantee that the thread will wake up after exactly the time specified. In fact, threads don't "wake up" at all, but are rather chosen for execution by the OS scheduler. The scheduler might choose to wait much longer than the requested sleep duration to activate a thread, especially if another thread is still active at that moment.