There have been at least a couple of forum posts from users that would like to run more than one build agent on the same physical machine. The normal reason is that they have more than one TFS server and want to use the machine as a build agent for both.
In this post I will describe how to add another build agent to a machine that already has one installed. The steps are very manual but should be simple enough.
UPDATE: I neglected to mention that you should reserve the new port number that you decide to use in step 2. You can read up on how to do this with the wcfHttpConfig tool here. Basically you just need to run a command prompt, change to the privateassemblies area of the Visual Studio program directory (usually C:\Program Files\Microsoft Visual Studio 9.0\Common7\IDE\PrivateAssemblies) and type the following at the command line: wcfhttpconfig.exe reserve DOMAIN\TeamBuildAccount 8181