This situation arises as I had installed Zend Core for Oracle (ZCO), and I wanted to try out some PDO functions. As ZCO comes with PHP 5.0.5, I was stuck, and PDO is only included from PHP 5.1.x onwards, I had to install PHP 5.1.x on my Windows box so that I can play with PDO. The assumption is that we have ZCO installed and working with a Apache2 server. I share the steps here on how to install another version of PHP so that it will co-exist peacefully with ZCO.
The post outlines a process to allow both the Zend Core and a normal installation of PHP 5.1.x to live peacefully (and still be able to switch from one to the other at any time). It's actually a relatively simple ten-step process to follow, especially if you've had much experience with installing PHP from scratch. When complete, you can start up one or the other, making it easy to test scripts in both or to just use the functionality in one (as he needed with PDO).