I already had MTW converted up to VI by the time I decided a second install of MTW 1.1 would be handy for multiplayer possibilities.

Readme.htm, in the VI CD, has full instructions for multiple install.
Step one is to autorun the MTW CD and select the second button from the top, which is re-install MTW. The opportunity to set an alternative directory path, as described above, arises as part of this process.

You can copy directories as bretwalda suggested and there's no real disadvantage to this. However, there will be no references to it in Windows registry, so uninstall can't be done automatically any more and the uninstallation technique will just be the reverse - simple deletion of files.

It may be okay to do that for this game but beware of making a habit out of it. Some games like to use the Documents & Settings\<username> path for storing items pertinent to the game which are unique to each person who uses the computer and the copied-directory-structure rendition of a game may end up overwriting data generated by your properly installed copy.