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It is [i]technically[/i] possible to have 2 versions of IE on one machine, by partitioning your hard drive and having two bootable disks. Since IE has been ingrained into the Windows OS for some time, it will only allow you to have one version of IE.
I think that later versions of IE will not allow themselves to be overwritten by previous builds - but I could be in error.
This actually might best be done after a format hdd/clean install of your OS. Keep in mind though that if your OS is more advanced than Win98SE or WinME, it's going to want to install its own "version" of IE - 6+ most likely if you're looking at XP Home or Pro, and even if you're thinking about 98SE - seems like the last time I clean-installed 98SE and then went to the Windows Update page, the browser updates provided 6+ (WAAAYYYY last year though - not sure I'm remembering correctly....)
I think you might consider searching Microsoft's Knowledge Base for relevant articles - [support.microsoft.com...]