For Godot 4 and the threads export in Godot 3, you need to set special headers on your web server in order to enable SharedArrayBuffer. There are some examples here for various web servers.
The script below can be used to start a web server that sets the required headers. The easiest way to use this is to place this python script in your export folder and double click it to start the server. Then you can view your game at http://localhost:8000.