yes it can be done. what you do is install the patches into separate folders (e.g. Program Files\KONAMI\Pro Evolution Soccer 5\patch or whatever).
Then, you go to Start>>Run and type in "regedit".
When the window opens up go to KONAMIPES5>>PES5
Right click in the window with all the registry keys and choose New>>String Value
Right click on that string value and choose "Modify Binary Data"
When the window pops up type in the path to the folder where the patch is installed. Click OK.
Rename the key with any name that is exactly 10 characters long (the default key is called installdir and we need to replace it in a minute)
open up PES5.exe in the folder you installed your patch with a hex editor (I use XVI32, it's free, just google it). Find where it says "installdir" and replace those characters ONLY with the name of the new registry key you created. Save and exit.