The best way is to first install the Windows, because the bootloader needs to be in the mbr on the first harddrive. Then you can go ahead and install any other Linux distribution on another partition. To boot the two different systems use either Grub or Lilo bootloader provided by Linux.
Assuming Windows XP/Vista is on the first harddrive and first partition of your sata drive:
Entry for Grub:
title Windows XP
Entry for Lilo:
other = /dev/sda1
label = Windows XP
table = /dev/sda
To remove Grub or Lilo from the mbr you can run in Windows:
This writes the Windows boot loader into the mbr of your harddrive again.
If you want to install Windows after your Linux installation and want to dualboot, you could boot from a Live CD and write Grub or Lilo back into the mbr.