A new Database instance in SQL

The way that I always do it is to put the SQL install disk in, it should prompt you to add a new one or remove an old one.

You need to run the SQL 2008 installer or whatever version you need to create a new SQL Server instance on that box

http://dharmendrablogs.blogspot.ca/2013/02/to-create-new-sql-server-instance-in.html
http://stackoverflow.com/questions/3128768/how-to-create-instance-in-sql-server-2008

A full new instance with a different instance name, separate services, etc?

You install SQL again and when it asks for default or named instance, you give it the name of the instance you want to create.

Yeah, but this is going on an SBS2011 server. With this, all bets are off, right?

You can have several SQL Server instances running on your SBS 2011 server (SBSMONITORING, SHAREPOINT, WSUS...), you would need to prioritize your memory allocation based on the criticality of the SQL Server instance. Maximum server memory should be configured appropriately for each SQL Server instance in order to be sure that one instance does not hog the memory resources that could have been used by another.

Wait - are you saying I can add a custom DB instance to my SQL on SBS? How?

OK. When I go to the setup, (for a new instance) I get a prompt for the installation media. No folder I choose seems to work. How to proceed?

You can download installation media from MSDN site or copy (convert from ISO format) to a regular folder.

Then right click on Setup.exe and choose RUN AS ADMINISTRATOR.

Your media - your folder.

In this way you can run install many times without trouble with media.

Thanks for the help!