Thank you all for the interest.
I have found out that mysql_multi, in any case, is only for unix.
In the manual (in the section: running multiple mysql servers on the same machine), they have suggested two ways to run more than one servers on the same windows machine by either setting different options in the my.ini file, or making more than one options file (viz. my1.ini and my2.ini) and then starting the servers one by one giving the right respective options file for the two servers. In the former case, you can install more than one servers as a windows service, which is exactly what I wanted to do. Well, thus far, I have managed to install the services and started them. Now the problem is, how to start mysql specifying that I want to run the mysql from a particular server.
For example, suppose I have made two services named mysqld1 and mysqld2, and they are running (as shown in the windows xp "services" utility) how will I mention that I want to start mysql -u root (from the mysqld1 service). Needless to mention, when I start mysql -u root without giving any options, it gives that (Oh so cute) can't connect to MySql server on localhost error.