Most all programs have a defined system/processor priority between realtime
and low, with most everything being set at normal.
If you have 2 identical programs both set at normal, they both get equal
shares of available CPU power. If you set one of the programs to above
normal, that program gets 1st crack at the processor power, and the 2nd gets
whatever is left.
In the Unix world, the concept is called "nice". If you were compiling a
large program, you would set your nice level below normal so that other
users wouldn't get slowed down (your job, of course, would take longer, but
chances are in a situation like this you would do your work in the
background anyway).
Or the other way, if a program started to "run away" and take all the cpu
power, an admin would renice a command shell to real-time so he could get
far enough into the system to shut down the offender.
I wouldn't bother messing with this, unless you had a background program
that was hogging enough processes that it affects normal operations.
Seti@home and United Devices are about the only situations that I can think
of off hand that a non programmer would run into.