How would I do this? The reason being I wanted to try some pygame out, but I have python 3 installed currently and have been learning with that. I'm also interested in trying out wxpython or something like that, but I haven't looked at their compatibilities yet.
EDIT:: im on a windows vista 64-bit
Yes, it is possible. 
I maintain 3 python installations (2.5, 2.6, 3.0). The only issue that could be confusing is figuring out which Python version takes precedence in PATH variable (if any) . To execute a script for a specific version, you would go into the python directory for that version
C:\Python25\ , C:\Python26\, C:\Python30\, etc. 
Drop the file in there, and run "python.exe file.py" from command-line.
You could even rename each python.exe to python25.exe python26.exe python30.exe and have each directory in PATH so it would be easy to execute any script on any version.
Is it possible to install python 3 and 2.6 on same PC?