So this is a simple question, maybe. So I am in my 3rd semester of programming and we are still only writing programs that can do only one thing at a time. I am in school to learn how to be a game developer and games have all kinds of things happening at once.

Is there a simple answer as to how this happens, or will I just have to wait until I get into more advanced classes?

I don't know how it is called in Game Development, but in Web Development it's called Multi Threading.
http://msdn.microsoft.com/en-us/library/aa645740(v=vs.71).aspx

threading is a general concept that's not specific to any kind of development

and it depends on what you mean when you ask "how this happens?" there are many ways to answer it, from the most naive, language-level explanation to the more complex, system-level explanation

there isn't typically a class that teaches concurrent programming as a standalone subject. it's usually addressed in courses that require it -- i.e. distributed computing, operating systems, and so forth... although you ought to see or have seen some topics about it in a software engineering course (which usually covers things like locking, semaphores, and basic parallel program concepts)

The answer to your question doesn't necessarily have to be threading. It could as well be event loops.