Concurrent and parallel programming (CPP) is an increasingly important subject in Computer Science Education. However, the conceptual shift from sequential programming is notoriously difficult to make. Currently, relatively little research exists on how people learn CPP core concepts. This paper presents our results of using Parallel, an educational game about CPP, focusing on the learners' self-efficacy and how they learn CPP concepts. Based on a study of 44 undergraduate students, our research shows that (a) self-efficacy increased significantly after playing the game; (b) the problem-solving strategies employed by students playing the game can be classified in three main types: trial and error, single-thread, and multi-threaded strategies, and (c) that self-efficacy is correlated with the percentage of time students spend in multithreaded problem-solving.