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I heard one can't have more than one schengen visa at a time.
That is correct, you cannot get 2 Schengen Visas (Type C) for an overlaping period.
If the Student Visa is based on ยง16b - Further education [full-time studies] - Residence Act, then it is a National Visa (Type D, longer than 90 days), to cover the period for your studies.
If you apply for a Schengen Visa (Type C, up to 90 days), giving studies (to take the entry exam) as the reason, it it will not be in conflict with the national visa.