I currently have
NINE versions of UG/NX (V16 thru NX 6) installed on my laptop and if I'm willing to accept the performance, there's really nothing stopping me from running them all at once (often I have as many 3 different versions running when I'm verifying a regression or something).
Now there are some issues that you need to be aware of. Unless you actually do a full install, shortcuts to the versions won't automatically be added to the Windows 'Start' menu. In my case, many of the older versions were not 'installed' so they don't appear on the list of programs on the 'Start' menu but that's not an issue with me since I have written individual scripts (.bat files) to run each version (this allows me to set different environment variables and paths to needed directories and such). But if you're only talking about 2 or 3 recent versions of NX, I would just do your normal install and run them from the 'Start' menu.
Now there is actually a bigger deal that you need to concern yourself with and that is that you will need to install (or be linked to) 2 different license servers, one for all version prior to NX 5 and one for NX 5 and newer. This also means that you will need two separate valid license 'sheets' since, in your example, NX 3 and NX 5 can't share either a common license sheet nor even the same server. Now this is normally not a problem since the two serves (one installed from the NX 3 kit and one from the NX 5 kit) uses different 'ports' and so they can run side-by-side with no conflict, however you will need to contact Siemens PLM to get two valid license sheets, which shouldn't be a problem but it's something that you will have to make arrangements for.
Anyway, once you've got both the servers running and the versions of the NX installed, you should be good to go, but I would watch out about mixing home directories since files are not downward compatible (from NX 5 to NX 3) so you should set up different default part file directories so as to be safe.
John R. Baker, P.E.
Product 'Evangelist'
NX Design
Siemens PLM Software Inc.
Cypress, CA
To an Engineer, the glass is twice as big as it needs to be.