"How do I find out if I well have any problems ??"
I am not sure how you can find out if you will have any problems without actually installing it first - except of course if you try a distro that has a live evaluation like SuSE 8.1 (that you can download).
I tried about 10 distros on my notebook and had problems with most of the 'smaller ' distros - like SCO, Connectiva, Vector, Corel, Darwin, etc. Couldn't get past the installation stage because hardware was not supported. I left WinXP on my system during three months of testing and trialling and never lost the NTFS partition or the ability to boot up WinXP.
With Mandrake 9.0, RedHat 8.0, SuSE 8.1 you shouldn't have too many problems except of course your winmodem. A winmodem to a linmodem is an easy conversion. Just download the CORRECT driver from
www.heby.de/linmodem.