I am wondering if Blender 2.66 overwrite 2.63 like windows or add another whole like Mac? Will I need to delete the previous version?
They can exists separately. When you open blender 2.66 for the first time in the splash screen select the option to copy your previous settings.
Unzip and save the blender directory wherever you want
yes if you use the installer from the blender home page it will over write the previous version. but if you download a recent build from graphicall.org you can open it as a seperate program. with out deleting the older version.
The Windows installer allows you to select where you want to install to. Do that by changing the line at the appropriate point in the process. Make sure that the shortcut, if created, points to that location and rename it if appropriate.
You can download zip files from http://www.blender.org/download/get-blender/ (stable release) or latest builds from http://builder.blender.org/download/