Short answer is that they can't.
GPRS phones come in three classes. Class A which can do simultaneous voice and data. Class B is GSM and GPRS attached simultaneously but can only use one. Class C is either GSM or GPRS attached, but not both.
The radio rwesource allocation on Class A makes it impossible to implement using only one radio module. You have to use two RF front ends acting independantly. It is not economic to do this, also the power consumption would be too high.
The standards have introduced a "Simple Class A", or Dual Transfer Mode device that simplifies the radio resource allocation. You get a half rate Voice timeslot and a half rate GPRS timeslot in succession. This is easily (or more easily) implemented on a single radio module.
The downside is that you get crappy voice and slow data.
UMTS can support simultaneously voice and data as the radio resource allocation mechanism was designed to do this from the outset.