redhat and fedora are moving away from lilo. grub is their preferred boot loader. i'd go with grub. you should be able to preserve your winxp partition with no trouble. if you feel it has to be lilo, you can see a howto at:
http://www.tldp.org/HOWTO/HOWTO-INDEX/howtos.html. this is a good list of howtos in any case.
to keep your winxp, just be sure not to use the ntfs/vfat or whatever partition contains your windows installation. if you do not use that partition in your linux install, the data will be left untouched. if you find that your system no longer shows windows as a boot option, it is still there (so long as you didn't format it). the mbr is messed up. you will need to have a dos boot floppy with fixmbr or similar tool to correct the mbr. of course, when it is fixed for windows, your linux boot will be lost and you will have to redo your linux boot loader and hopefully correct whatever zapped the windows boot last time.
with the grub option, you should see a screen in their install dialog that shows to boot options, one fore linux and one for windows and it will let you select which one you want to be default. if you see that option, it is preseving your windows boot capability.
