Some programs have a built-in option which allows you to assign the processor affinity. For example, my old friend Prime95 has an option which allows you to assign the program to a CPU. It's usually only CPU hogs which run in background which provide that kind of option. For programs which don't have such an option you can bring up the task manager, go to the Processes tab, right-click a process, and then Set Affinity. Usually you don't mess with it because Windows does just fine assigning it for you.
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