The last MegaMan you've posted is entirely different from previous MegaMans (no, not MegaMen:P). The last one is actually MegaMan.EXE, a computer program that fights in the cyber world. I'm sure you have a GBA, or some method of playing GBA games. Check out the MegaMan Battle Network series of games.

By the way, the word you need to use is "Thread", not "Threat"