NW IdM Install on MS 2003 server with an existing SAP instance

All:
   I have never worked with SQL server before and need help.
My Scenario:
   I have an EP installed with SQL 2005 on Windows 2003.
   I would like to install a NW IdM on the same server.
Coming from a unix/oracle environment, if I need two SAP systems on a single host, I would install two oracle instances and database and each SAP instance would point to its own home and database.
How does it work with SQL server. Will I have to install a new instance of the SQL server software and database and if so where would it be? Right now I see that the EP SAP instance, datafile, Tempdb and Logfile resides on the E:\ drive and I also see a C:\Program Files\Microsoft SQL Server. How does a "named instance" fit in my scenario?
Could someone help me understand?
Thanks
S.

Hi Markus
And thanks to your answer, it helped me to succeed in this first step but unfortunately 1 minute later during the install process I have a new error telling me :
MDB-05042 Error while executing script "CREATE DATABASE BW3 ON PRIMARY ( name = 'BW3DATA1' , filename = ' C:\BW3DATA1\BW3DATA1.mdf ', size = 11000 FILEGROWTH = 60 )....... idem for BWDATA2 ......... idem for BWDATA3 MODIFY FILE encountered operating system error 112 while attempting to expand the physical file. CREATE DATABASE failed. Some file names listed could not be create.
Could you help me to solve this error . Thank you in advance.

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NW IdM Install on MS 2003 server with an existing SAP instance

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