I need to use both these devices at the same time. Not sure if I need to connect both of them at analog ports 4 & 5. Not sure how I can do this at the same time.
I have the compass working by connecting to ports 4 and 5. I do not have the pressure sensor this moment with me. I will get my hands on it tomorrow but need to demo tomorrow with both compass and pressure sensor.
So, does it mean that I cannot use these two devices at the same time with the Arduino?
I can get the two devices working individually. Not sure if I can use them at the same time. Should I connect both devices to pins 4 and 5 at the same time?
If they are both I2C devices, and they have different addresses, there is no reason you should not be able to use them both at the same time.
Just bear in mind the cable length limitations of I2C
There's no obvious reason those two devices won't both work on the I2C bus, one uses address 0x77 and the other 0x42 (or 0x21, they shift it for some reason) so they should both work.
Note that the pressure sensor appears to be a 3v3 device, do not connect it to 5v.
Much of what an Arduino can and cannot is explained in the tutorial section. Please read and spend time to repeat and understand the examples on - http://arduino.cc/en/Tutorial/HomePage
I2C is also on this page => Wire library
Furtermore wikipedia has a backgrounder on it - I²C - Wikipedia