Any application that supports multiple threads (which is most Windows programs) will use both CPUs. In addition, the OS will run different apps on different CPUs. The only time you run into problems is when you have a single-threaded CPU hog, like LAME. In these instances, you can often just run two copies of the program, encoding two MP3s at the same time, for example.

Games might be another matter. I don't know if they're commonly multi-threaded or not. It seems like they would be.