You can install multiple versions of Python one machine, and during setup, you can choose to have one of them associate itself with Python file extensions. If you install modules, there will be different setup packages for different versions, or you can choose which version you want to target. Since they generally install themselves into the site-packages directory of the interpreter version, there shouldn't be any conflicts (but I haven't tested this). To choose which version of python, you would have to manually specify the path to the interpreter if it is not the default one. As far as I know, they would share the same PATH and PYTHONPATH variables, which may be a problem.
Note: I run Windows XP. I have no idea if any of this changes for other versions, but I don't see any reason that it would.