In the pgfmanual I found today under Section 50.4.4 Customizing the Externalization that you can have multicore support during externalization using the mode list and make.
% step 1: generate main.makefile:
pdflatex main
% step 2: generate ALL graphics on 2 processors:
make -j 2 main.makefile
% step 3: include the graphics:
pdflatex main
I am using Windows 7 and MiKTeX. Since I never used make I downloaded it here: http://www.gnu.org/software/make/. Then I used this MWE (main.tex):
\documentclass{article}
\usepackage{tikz,pgfplots}
\usetikzlibrary{external}
% Important
\tikzexternalize[mode=list and make]
\begin{document}
\begin{tikzpicture}
\begin{axis}
\addplot coordinates {(0,0) (1,1) (4,4)};
\end{axis}
\end{tikzpicture}
\end{document}
So I used a batch file like the pgfmanual said:
% step 1: generate main.makefile:
pdflatex main
% step 2: generate ALL graphics on 2 processors:
make -j 2 main.makefile
% step 3: include the graphics:
pdflatex main
But it doesnt' work. I get a message during the make -j 2 main.makefile part:
make: Nothing to be done for 'main.makefile'
Then I used make -f main.makefile like it was suggested during the first pdflatex main and I get:
process_begin: CreateProcess(NULL, cat main.figlist, ...) failed.
process_begin: CreateProcess(NULL, cat main.figlist, ...) failed.
Here a screenshot for the make part:

This is how the make file looks like:
ALL_FIGURE_NAMES=$(shell cat main.figlist)
ALL_FIGURES=$(ALL_FIGURE_NAMES:%=%.pdf)
allimages: $(ALL_FIGURES)
@echo All images exist now. Use make -B to re-generate them.
FORCEREMAKE:
include $(ALL_FIGURE_NAMES:%=%.dep)
%.dep:
mkdir -p $(dir $@)
touch $@ # will be filled later.
main-figure0.pdf:
pdflatex -halt-on-error -interaction=batchmode -jobname "main-figure0" "\def\tikzexternalrealjob{main}\input{main}"
main-figure0.pdf: main-figure0.md5
main-figure0.pdf is not generated -- but main-figure0.md5 is generated.
Update (Christian's Answer)
I tried your advice (ALL_FIGURE_NAMES=main-figure0) and replaced the code in the makefile but it still doesn't work.

I voted to close the question. It seems that only I have the problem. Thanks for the help!
list and makeoption was probably not intended to be run on windows at all, but the$(dir $@)line tends to prove otherwise. Have you tried from an administrator console? – T. Verron May 30 '14 at 11:11make -j 2 main.makefile: this probably didn't work because you miss the-fflag before the name of the makefile. And the.md5files are generated during the first run ofpdflatex. – T. Verron May 30 '14 at 11:14diris a command on other systems, too. I have it, for example, and I am no Windows user! It is part of GNUcoreutilsaccording to the manual page. – cfr Jul 29 '16 at 02:16;)– T. Verron Jul 29 '16 at 03:03makeis supported on W32. Just the evidence you gave doesn't probably justify that conclusion, which just happens to be true. The issue, it seems to me, is that the process needsmakeandmakeis not default on all platforms. (But I don't know if there's a better option.) – cfr Jul 29 '16 at 03:57