It is normal to send program change and control change messages to the same channel. For example, if your MIDI device uses General MIDI sounds, the following messages will change channel 1 to a flute, then set channel 1's volume to 100:
C0 [program change channel 1]
49 [program 74, flute]
B0 [control change channel 1]
07 [controller 7, channel volume]
64 [value 100]