You can easily acheive it this way:

install PHP 4 to C:\php4
put your PHP 4 specific php.ini file into C:\php4
rearrange the contents of that folder so that all the .dll files from the dlls and extensions folders live in C:\php4.
Make sure your extensions_dir=c:\php4 in your c:\php4\php.ini
[this creates a self-contained PHP 4 distro]

install PHP 5 to C:\php5
put your PHP 5 specific php.ini into C:\php5\php.ini
move all the extension .dlls into C:\php5
[this creates a self-contained PHP 5 distro]

Make sure that NEITHER C:\php4 nor C:\php5 are listed in your PATH.
Remove all PHP related DLLs from your windows system directly.
Remove the global php.ini from C:\windows\php.ini
[this removes global stuff that might confuse things]

Making this a docu problem, since we should have it mentioned somewhere.

I'm not seeing this behavior. I followed the instructions exactly but php never seems to check its directory for php.ini. I watched where it was looking with FileMon (systeminternals.com) and it looked in the web server folder, and c:\windows, but not its own folder (both 4 and 5). When PHP didn't find php.ini in either of those locations, it just reverted to using default values.

Please do not submit the same bug more than once. An existing
bug report already describes this very problem. Even if you feel
that your issue is somewhat different, the resolution is likely
to be the same. 

Thank you for your interest in PHP.

Dup of bug #21244.

Order of directories for searching php.ini is described in the docs. One of them is "Directory of PHP (for CLI), or the web server's directory (for SAPI modules)". So it seems it's impossible to setup different php.ini for two SAPI modules. If you don't like it, create Feature Request for it.