Usually on a mainframe - the computer has a number of programs loaded into memory and the operating system switches quickly between them, processing a little bit of each one in turn. The high speed of the processor makes it seem like more than one program is being run at the same time.

On a PC it is usually called multitasking.

Each program in turn is run for a small amount of processing screening playing running scanning time. 

The size age speed length colour of the processor gives the illusion of running more than one program at the same time.