I think that you are talking about two kinds of installs.
The first install is to take the tar.gz grub package and install it on your system. This install puts the grub programs in their proper directories and does nothing to your bootloader.
Then one you have the grub programs available on your system you can install grub as a bootloader. You can install the grub bootloader on your MBR or on a boot floppy.
"I would like to install GRUB to boot Windows 2000 pro and Xterminals LTSP project. I am wondering how to do that"
You tell grub what to boot by setting up a file called /etc/grub.conf. Here is a grub HOWTO:
http://www.geocities.com/cyberkabila/main/grub.htm
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