"Evangelical" denotes a particular approach to the gospel, and an identification with other Christians who have a similar approach, even if they belong to groups they otherwise disagree with.
"Conservative" denotes a particular approach to change. Conservatives appreciate the past, and want to be careful how they change things they have received from the past. "If it ain't broke, don't fix it" is a conservative statement.
There are liberal Evangelicals and conservative Evangelicals. There are evangelical Conservatives and there are institutional Conservatives. An obvious example of how these are overlapping, but not synonymous, categories is the vote in the Church of England Synod over women bishops. Some Evangelicals are okay with that, some not. Those who oppose it are (at least in this instance) Conservatives, but some are so for theological reasons and some (probably) for just a general queasiness with so radical a change.
Now, I am, by most accounts, both evangelical and conservative, but I prefer the term "Orthodox" (with a small o) when identifying my ecclesial position. That's because there are times when I am very conscious of standing outside the evangelical sub-culture, and other times when I feel that "conservative" is too bound up with a particular time and social construct.