I have seen many times that people, especially who are .NET developer, be in illusion that they can’t install more than one version of SQL Server in one Server. This is indeed not true at all. If you are aware with INSTANCES of SQL Server, you could probably run more than one version of SQL Server.
When you install SQL Server, you get two options 1.) Default Instance 2.) Named Instance. If you have installed SQL Server (may be sql server 2000) with default instance first time, you can install other version (may be SQL Server 2005 and/or SQL Server 2008) with named instance in your server. All you have to select is, Named Instance radio button and give name to instance. You can give any name to your instance to identify what version you want to connect at the time of connecting it. Suppose you give instance name “SQL2K5” to another SQL Server 2005 installation than you will be able to use SQL Server 2000 and 2005 both in your server. All you need to do is, while connecting to new instance, you have to give SERVERNAME\Instancename (in our case instance name is “SQL2K5”).
Hope this helps to newbie.