Hello

I want to create 3 partitions of my harddisk.
#1 winxp install ++
#2 linux mandrake 10 install ++
#3 data of all kinds that i can access using both windows and linux (mp3s,movies +++)

does #3 have to be on a special file system, and what are the things I need to do in order to get this set up right?

Help is much appreciated! If this has been answered previously feel free to direct me there

There are a few options.

1) Fat32: I wouldn't recommend this one. While both should be able to read/write to it, you will eventually get corruption issues on that drive.
2) Format with a linux fs, and get Paragon. Paragon allows you to have r/w access to ext2, ext3, and reiserFS (IIRC) from Windows. However, it's a pay thing.
3) Captive NTFS Linux driver (or some other Linux NTFS driver): This might be your best bet. I haven't tried it out yet, but it'll allow Linux to read/write to NTFS. There are a couple of drivers out there for this.

I wouldn't recommend using something like Explore2fs - it's slow.

Hope that helps.