When should the Win32 InterlockedExchange function be used?

InterlockedExchange is both a write and a read -- it returns the previous value.

This is necessary to ensure another thread didn't write a different value just after you did. For example, say you're trying to increment a variable. You can read the value, add 1, then set the new value with InterlockedExchange. The value returned by InterlockedExchange must match the value you originally read, otherwise another thread probably incremented it at the same time, and you need to loop around and try again.

As well as writing the new value, InterlockedExchange also reads and returns the previous value; this whole operation is atomic. This is useful for lock-free algorithms.

(Incidentally, 32-bit writes are not guaranteed to be atomic. Consider the case where the write is unaligned and straddles a cache boundary, for instance.)

In a multi-processor or multi-core machine each core has it's own cache - so each core has each own potentially different "view" of what the content of the system memory is.

Thread synchronization mechanisms take care of synchronizing between cores, for more information look at http://blogs.msdn.com/oldnewthing/archive/2008/10/03/8969397.aspx or google for acquire and release semantics