Yes, as JonC04 said, there are different types of CPU folding clients: The system tray one (which you are running) and the SMP client, and also, VMware clients.
Each system tray client uses one core, so you could use multiple tray clients to get the most out of your CPU.
The next type is the SMP client. If run normally, without any flags, it works the same the system tray client. If you do put the -smp flag on, then it will work as an SMP client. It will download specific WUs and will use all of your cores. Gives better PPD than the tray client, but has shorter deadlines (normally 1 week, whereas the tray client has a 1 month deadline on average)
The last type is a VMware client. This involves running a virtual machine on your computer; a computer in a computer if you will. You boot into Linux on the VMware client. This is because Linux folds on the CPU better than Windows does (though not as well with GPU folding, which is more important). Once set up, a VMware client can either run on 2 cores, or 4 cores (or 2x2cores if you want). While slightly trickier to set up, they give much better PPD than the previous clients.
For now, try and set up the SMP client with the -smp flag. if you come into more issues, we'll get you started on a VMware client