sequential programs executes routines one at a time ... in
sequence ...
e.g execute routine x,
execute routine y,
that's how everyone started their toddler steps into the world of
programming ....
but suppose you want to execute both at the same time ? ...
that's where concurrency comes in ... and a language like java that
supports concurrency allows you to write programs that allows you
to do that ...
I won't go into too much details here .... cos there are a lot of
attendent issues here .... (critical sections (two routines
accessing some common variables), logical versus "true" concurrency
(time multiplexed CPU versus multiple CPU (multi-programming etc ))
...
but if you're a budding programmer then i encourage you to explore
some of these Java packages, Threads (for concurrency), RMI, CORBA,
etc ... 
really ... Java is much more than just a
first programming language for most of us ... 
