The general claim is that Windows does not have an upper limit on files; just what you can manage in memory.
I think you will find useful: Russ Dich's discussion of Windows handle resource limits useful.
We build parallel programs, that can process thousands of files. In spit of the claims, we seem to run into resource limits when we attempt to open (and hold open) several thousand files.
We have found it to be useful to limit the number of files to a few hundred. This doesn't seem to affect performance much over the same the limits. This is pretty easily managed with a thread in your parallel application.