Can I use multiple cursors on one connection with pyodbc and MS SQL Server?

I'm using pyodbc on python 2.6 to connect to Microsoft SQL Server 2005. I open a connection, create a couple of cursors:

c1 = connection.cursor()
c2 = connection.cursor()

and then run a query on the first cursor.

c1.execute("select * from foo")

Now I run a query on the second cursor:

c2.execute("select * from bar")

...and I get an error: "Connection is busy with results for another hstmt."

After I do a c1.fetchall() or c1.close() then I can use c2.

My question is: Why am I even allowed to create multiple cursors on a connection, if I'm only allowed to use one at a time, and the same one can always be reused? And, if I want to run a query for each row of the results of another query, like this:

for x in c1.execute(...):
    for y in c2.execute(...):

do I really have to create multiple connections to the same database?