Go through the installation, and when you get to the bootloader your choices are:
1. install the bootloader on a floppy (which you'll need to use every time you want to boot Linux. This will have no effect on the Windows bootloader)
2. Install the bootloader to the MBR. This will overwrite the Windows bootloader and present you with a choice of OS's to boot.
I'd recommend the floppy route to start, then reading about GRUB or LILO before installing to the MBR.
My personal preference is GRUB on the MBR, chainloading to which ever distro I fancy booting into. (This will make sense once you've done the reading...)