This is called a poor man's install. You can install to an existing Windows partition (including ntfs) without messing with the MBR. The disadvantages are that it acts like it's running from the CD, so you can't install anything. This will work with Windows XP, 2000, NT, or with a few modifications 98, and supposedly 95 (I haven't tested it.)
You can also install any livecd that has an option to boot from iso. Just get the kernel and initrd from the cd.