I used to be able to do this via copying Sage calling it Sage2 then manually editing the company file to a new data path. In more recent versions of Sage this has become tricky as the location of the Company file is no under.
All Users\Application Data\Sage\2010\
So if you want to switch companies then you have to manually edit the company file each time, not so easy. Found this little guide which will switch it for you.
Documents And Settings
Application Data (This is a little tricky as it is a hidden directory you might need to go Tools>Folder Options>View>Hidden Files and Folders>Tick the box for "show hidden files and folders" to see it)
Accounts (Maybe instant)
2009 (Maybe other year)
in here you will find a file called "company"
open the file with notepad and you will see it contains the path to a directory where your sage data is held
eg C:\Documents and Settings\All Users\Application Data\Sage\Accounts\2009\company.000
go to that directory and copy the company.000 folder and paste it then rename it to company.001
back in notepad change the path to the new path and when you start sage you will be using the other set of data.
Now, to switch between the two easily.
Make 2 copies of the company file call them company1.txt and company2.txt
Put the path to each company in each of them.
Now the clever bit
make a batch file to copy company1.txt over company and another to copy company2.txt over company.
you can make 2 batch files using notepad, you just need to give it the file extension .bat
(you need to turn off hiding of file extensions in explorer to do this) Tools>Folder Options>View>...
The contents of company1.bat file will be one line something like
COPY /Y "C:\Documents and Settings\All Users\Application Data\Sage\Accounts\2009\Company1.txt" "C:\Documents and Settings\All Users\Application Data\Sage\Accounts\2009\Company"
You need to change the path to yours.
Now right click on the batch file and send to desktop as a shortcut.
Double clicking on the company1 or company2 shortcut on your desktop will switch instant accounts between the two datasets
You need to ensure that your licensing permits this.