I have a Win2003 system that serves CAD drawings thru an SQL SERVER 2005 Express.
I need another installation of SQL SERVER 2008 for an ERP on the same server.
There are any known problems or issues about this configuration ?
Your SQL 2008 instance will require a distinct name but otherwise they should not interfere with each other.
You will need to use a named instance for SQL Server 2008, and you will need to run the SQL Server Browser service (and have it accessible to the network if the clients are remote) in order to connect to multiple instances on the same machine.
You shouldn't run into any problems...multiple instances run isolated from each other.