Creating a new sql server instance is actually very easy. To create a new instance, do the following:
a) Secure a copy of SQL 2005 Express installation media.
b) Run setup.exe.
c) Accept license agreement. After accepting the agreement, the installation program will perform various other checks like disk space available... etc.
d) "Welcome to the Microsoft SQL Server Installation Wizard" just lazily hit on "Next" button.
e) In System Configuration Check screen, if the reports are okay then proceed, hit on "Next" button again.
f) For the Registration Information screen, supply necessary information. Now this is very important, ensure that "Hide Advanced Configuration Options" is unchecked.
g) Accept the default selection for "Feature Selection" screen and hit on "Next."
h) In "Instance Name" screen provide the sql server instance name you would like to use. Then just follow and use the default for next screens and off you go, you got new SQL Server instance.
Or you can also supply instance name in command line when running setup.exe, i.e.:
C:\SQLServer2005Express>setup.exe INSTANCENAME=NEW_DB_INSTANCEThen accept the defaults.