You need to run a second instance of Prime95 to use both of your cores. To do this, copy the Prime95 folder and paste it somewhere, then delete the worktodo.ini file, then start Prime95.
Or you can use the newer version to run on both cores,
http://www.mersenneforum.org/showthread.php?t=9779, but it's pre-beta and could be unstable.
Yes, Prime95 will automatically "tune down" when something else needs to use the CPU, like a game (Windows actually handles it, Prime95 just tells Windows it's running at the lowest priority, so other things go first).