If you want an example of doing request startup/shutdown multithreaded with the embed SAPI and are willing to wade through a bit of XS, you can check out the PHP::Interpreter Perl module (on CPAN: http://search.cpan.org/dist/PHP-Interpreter/). That links against the embed SAPI but uses the native engine calls for handling request mortality. You could also check out Sara's runkit in PECL, I think that does similar stuff.
Great thankyou, I will certainly take a look at both of these to see what we are doing wrong.
Regards
Mark