As Bart says, this is not a problem. However, a few precautions must be taken:
Select the "New installation" method. However, if you are installing older versions, the choice is made by default, since it is impossible to update to an older version. So unlike Bart, I would say to carry out the installations from the newest to the oldest. Even if it is more common to insert more recent versions.
As visible as an attachment. You have to be careful to select a different directory for the "Toolbox" because if you update this folder by installing a newer version the toolbox but also the piercing helper will be unusable for previous versions. In addition, it is interesting to share these folders if you want to modify the data and your colleagues use this same data.
Hoping to have helped you. If you need more information, don't hesitate.
To be in the same case I would say that yes there are procedures to follow to avoid mixing toolboxes, sharefinders, and drawings.
What I did was create a different partition on my disk (D: SW data) where I did my install with folders like solidworks 2010, solidworks 2013, solidworks 2014.
It was during the installation in the toolbox parameter that I specified the creation and location of these folders.
What I get from it as an advantage; my parameters are well differentiated and I no longer have a problem with the toolboxVersion, the swbrowser.
Then I allow myself to have common files such as the paint (RAL, hammerite etc...) the bib design, finally all the components that are not changed according to the version.