i have never tried this but in theory if the location of windows messenger was say on a spare or 2nd hard drive u might be able to............. im open to be proved wrong, i know on my wifes pc she runs some of her larger programs from the spare hard disk i installed.
If you download messenger plus, it allows you to sign in with multiple accounts at the same time. It is an extension to messenger, you download it and it works on top of messenger. It has several additions and improvements to the standard messenger, such as higher security, tabbed browsing, logging chats, and the ability to sign in with more than one account at once. I suggest it as it is really good!