I have 2 HDs in my PC right now both SATA and 1 has XP on it and the other is empty. I want to install Fedora on the second one and want to be able to choose which I want to boot to Fedora or XP. My question is how do I make it so without having to go to the BIOS and change it out each time? I heard about a bootloader but don't know anything about it and am asking for any help please.

A bootloader is actually some software written to the Master Boot Record (MBR) of your hard disk. When the computer boots up, it will find this bootloader, and the bootloader will give instructions to the computer on how to boot the OS. Before this, you actually already have a bootloader - the one which automatically boots windows. Now that you want to have a dual-boot system, you will be using a linux bootloader (don't worry, a linux bootloader can boot both linux AND windows!). The fact is, Fedora Core 5 already has a bootloader (grub) and supports dual-booting Windows and FC5. You can proceed with the installation now, the defaults should be alright. During installation, just make sure that you choose to write the bootloader to the MBR of the first hard disk, and check that the linux partitions are in the second hard disk. If all goes well, after installation you should have a nice boot menu prompting you to select windows or fedora when your computer boots up.

Is it supposed to prompt you to install GRUB during the installation? It never asked me. If I boot into the installer after it is installed and I go to update it it allows me to install GRUB, although it does not work....

Yes, it is definitely supposed to prompt you to install grub during installation.