Sure, it's trivial. Simply install GF in to a different directory.
If the two GFs are going to be running at the same time, you'll need to run through the domain.xml of one of the domains to tweak the port numbers, otherwise they're happily co-exist in silence with each other.
[Message sent by forum member 'whartung' (whartung)]
http://forums.java.net/jive/thread.jspa?messageID=261454