Microsoft supports installing any combination of .NET framework versions side by side as long as they are compatible with the operating system on which you install them (.NET 4.0 can be installed on server 2003 as long as you have service pack 2). As applications typically use only the one they are built for, I wouldn't expect anything bad to happen as a result of installing an additional version.
Some applications (specifically IIS) allow you to select which version to use in a particular context. You can't typically change this setting without causing problems, as the behaviour of each version is different. However, his comment is absurdly overbroad.