Maybe. It all depends on the spec. of your PC. Windows can run another application while the first one is still running, but perceived wisdom is that you should shut down all other applications if you want error-free video downloads.
You do risk getting dropped frames. Depending on the software you are using, you may be given information on the number of frames dropped. Personnally, I would not risk it as it will be so annoying if you do have a duff transfer.
One possibility if you are running XP, I believe you can set priorities for a program. Giving the highest level of priority to the program doing the transfer may protest you from dropped frames.