Now, before we get too excited, this may just be a feature with Internet Explorer, or something the device emulator does different. But to sum it up, I set up an application to log every second in a separate thread. By clicking a button, that log could be displayed. When switching back between Internet Explorer and the application, the log remained the same! Whether or not this means that you can download information in the background, I don't know, but I'll keep experimenting.

See the video for details. Also, clicking the arrow button DOES completely exit the application.

EDIT: Also, switching from application to application works as well. Interesting. Leave what you think in the comments section.