HO,
There are many applications which use SQL as their database engine and databases. It would be fairly expensive and complicated to run different machines just to keep them separated.
Yes, you can run multiple application using SQL Server on the same machine.
Basically, you are installing multiple instances of SQL Server to host the databases of the application. The first Server will, by default, have the name of the server as its instance name. Subsequent SQL Servers which will run in isolationg of the other Server will be named differently possibly with an added $.
It also would be helpful to know your OS and if it is already running its version of SQL Server.
