have your cake and eat it too

I was just reading this thing about the Golden Compass and the thing mentions "have your cake and eat it too". I have never understood this proverb. And excuse me but the reason I don't get it is not because I am ESL. Faithful online dictionary proclaims it to mean "to do or get two good things at the same time". But if you have a cake, you would be eating it, and if you eat a cake, you would be having it. So how is this two good things at the same time? At least give me some coffee or something.

Two good things at the same time would be:

• Lobster and Cake - for my cube mate Rie, don't ask
• Or TV, Food & Sex - George Castanza; but that proverb equivalent would have to be "baking, having and eating the cake"
• Or never having to work but still having an interesting life - thats me