Can I run AutoCAD and the videos at the same time?

Yes you can, although it is not normally done.
Typically a student will:
-print out the lesson by clicking on "Print/View Lesson"
-watch the lesson by clicking on "Play Video"
-minimize the web site screen by clicking on the minimize button in the upper right hand corner of the browser (Internet Explorer, etc).
-start AutoCAD and do the lesson
-after doing the lesson on AutoCAD, minimize it, and maximize our web site (your browser) and repeat all above for the next lesson