Using asyncio and the IOCP eventloop it is not necessary to use threads.  (Windows may use worker threads for overlapped IO, but that is hidden from Python.)  See

  https://code.google.com/p/tulip/source/browse/examples/child_process.py

for vaguely "expect-like" interaction with a child python process which works on Windows.  It writes commands to stdin, and reads results/tracebacks from stdout/stderr.

Of course, it is also possible to use overlapped IO directly.