Programs are separate entities that preform specific job. Like just to simply move the mouse to click on something, there are several programs working(one to show the movement on the screen, one to decipher the actual movement of the mouse etc). And still, those programs are working under other programs(the web browser, and on the highest level, windows).

The Matrix is just one big virtual world, kinda like a videogame Grand Theft Auto for instance. To make sure everythings running smoothly, they have programs running to govern aspects of it. However, unlike grand theft auto where the programs are simple(push left on controller, make guy on screen walk left, for the Matrix they have to give them minds of their own, Artificial Intelligence, to do their jobs. And like anything, with a mind of its own, it can make its own choices.

And realistically, there's no difference between a program in the matrix, and machines in real life (lets say the Terminator for instance. Because the way the Terminator 'thinks' is just one big program stored physically.