You can press key combinations of any keys, especially when playing games. In some cases, you might be limited to how many keys you press at the same time (2, 3, or 4 keys) but they can still be pressed together. How a program reacts to these presses is entirely up to the program. For typing, if you press and hold a combination of keys, it will show all keys in the order they were pressed, but only repeat the last key to make contact (it's humanly impossible to make them all contact at the exact same time). For example, if I attempt to press ASDF all at the same time, I get something like this: adfssssss, with 's' being the last key to make contact.
In games, key combinations are a normal thing. For example, if playing a first person shooter, you might have your movement keys mapped to WASD, space for jump, F to open/use things, and R to reload. If I am holding W to move forward, then press space to jump over something, R to reload, without releasing any of the keys, all actions should happen simultaneously. You should be only limited to the number of keys you can have pressed at one time.