Notice that the file manager program was already open, but selecting your painting caused your paint program to open as well. Two programs are open at the same time! This is an example of multitasking. There are some key concepts here you need to be aware of.
Try it now. Make sure your paint program is sizable so you can see the file manager in the background. Click on the file manager. Look what happens! Go back to the paintbrush program if you can by clicking on it. Different operating systems handle multitasking differently, but all have ways of showing you what the open programs are.