A connection can't really multitask; the question is flawed. Sqlserver is quite like its own mini multitasking OS in that it implements its own round-robin task switching. To get the illusion of same time execution, do what a previous poster said with using two connections and WAITFOR TIME. You can also use sqlagent to schedule jobs on different connections. You can also use service broker to queue tasks to different connections. Connections get stuck in wait states waiting on disk, cpu, network, etc so technically virtually everything is single threaded.
Maybe explain deeper what you are trying to accomplish.