It is supposed to be possible to have IE4 and IE5 on the same machine, but I've never succeeded. Windows/IE is not really an application, it's just a shell extension with a few interpretors loaded in. As far as windows is concerned, IE is part of windows.
What I do is use Virtual PC software called VMWare - http://www.vmware.com
- so I end with multiple OSs in discreet windows; very useful - indepensible in fact. Since it can run any x86 OS, it means I can have a Linux box as well