Ive been doing that on various occasions. And you will find that many here run some version of Linux along with Windows on their machines. If you plan on running at least one version of Windows that would be installed first onto the first partition of the one or more hard drives installed. Most will see Windows on the host or primary drive with either the second OS on a second partition or on the next drive.
With more then one version of Windows the older version is installed first if on the same drive since a newer one is intended as an update. Splitting the drive into separate partitions will depend on which operating systems will be installed. There are different types of partitioning tools available with some free of charge.
For running a version of XP with a Linux distro on one drive you would have to decide if you were going to allow any changes to the master boot record(mbr) with a preferred universal type boot loader for dual OSing Linux with Window. Linux generally uses Grub or Lilo as a separate loader that can be installed onto the root partition. The larger distro require two partitions with the second swap partition used for virtual memory.
While the XP installer can create and format partitons you would need a separate one for Linux. Similar to the fdisk seen with the Fat versions of Windows cfdisk is one tool often used. These are some of the basics.
