When you install Python, it will not overwrite other installs of other major versions. So installing Python 2.5.x will not overwrite Python 2.6.x, although installing 2.6.6 will overwrite 2.6.5.
So you can just install it. Then you call the Python version you want. For example:
C:\Python2.5\Python.exe
for Python 2.5 on windows and
C:\Python2.6\Python.exe
for Python 2.6 on windows, or
/usr/local/bin/python-2.5
or
/usr/local/bin/python-2.6
on Windows Unix (including Linux and OS X).
When you install on Unix (including Linux and OS X) you will get a generic python
command installed, which will be the last one you installed. This is mostly not a problem as most scripts will explicitly call /usr/local/bin/python2.5 or something just to protect against that. But if you don't want to do that, and you probably don't you can install it like this:
./configure
make
sudo make altinstall
Note the "altinstall" that means it will install it, but it will not replace the python
command.
On Windows you don't get a global python
command as far as I know so that's not an issue.