How is it possible to do a master's and PhD program at the same time? I was browsing through Academia SE and found this question.  

To save you from reading the whole thing, here is what confused me: the person who asked a question is in Master program at university, but the top answering person (with high reputation) asked them "By the way, do you mind my asking, why aren't you in a PhD program? In physics it seems a bit unusual to be in a Master's only program."  

Maybe I got something wrong, but does this person mean that you could be in the Master AND in PhD program at the same time? How is it possible? I am going to apply to a Master program next year (in Europe: Finland, Switzerland, Russia, etc.) and all universities without exception require finished Master degree in order to apply for PhD program. I always thought that the process is the same worldwide, i.e. Bachelor -> Master -> PhD
In the US, in many fields, it's common to enter a PhD program with just a bachelor's (and typically, someone who does that can earn a masters along the way to a PhD.)

I did this myself - I am an electrical engineering PhD student with only a bachelor's degree.