It's a pretty trollish question, but I'll give you the benefit of the doubt :)

The iPhone runs OSX, so mutitasking's built in at an OS level. For a number of reasons Apple have decided that user-installed apps can't run in the background, meaning that when you select another app, the previous one actually closes.

Some Apple apps, like the phone, iPod player etc are exempt from this rule and do run in the background.

Have you ever been browsing in MobileSafari and had an incoming call or SMS arrive? Have you ever listened to music and had a calendar alarm fire? Congratulations, you just experienced multitasking.