PIC's can do many things at the same time.

It can only execute one instruction of the program at a time ...
But simultaneously, all the hardware peripherals are doing their "thing" too.

Timers are counting, the A/D can be converting, LCD drivers are scanning, USARTS and SSP modules are sending/receiving data... etc.

It can be difficult to keep track of everything that's going on.
But when you do get a handle on it ... amazing feats of magic will follow.

You cannot say PIC's only do one thing at a time.