Windows should definitely go on first, as Linux is much more kind to Windows than Windows is to Linux. Install windows on a partition and leave room for your etx2 (Linux file system) and ext3 (swap partition, ~512MB if RAM=1GB, etc). Or you can install Windows on an entire drive, and Linux can shrink down the Windows partition and make room for itself (provided you have room on that drive/partition).
I prefer and humbly recommend
Ubuntu as my Linux OS of choice.