That would be considered as Multitasking which only the iPhone 4 can do.
More information about Multitasking on the iPhone 4:
Switch between apps quickly.
The multitasking user interface allows you to quickly switch between apps. Just double-click the Home button to reveal your recently used apps. Scroll right to see more apps, then tap one to reopen it. No need to wait for the app to reload.
Listen to audio in the background.
Now you can listen to audio from compatible third-party apps while checking email, surfing the web, playing games, and performing other tasks. So when you want to follow a ball game or listen to music from Pandora, your productivity never skips a beat.
And pick up right where you left off.
Apps can remember where you left off. So when you return to the app, you can jump right back into playing your game, reading the news, finding a restaurant, or whatever you were doing.
Hope it solved the problem.