Calum is completely correct. You need to install Windows first, then Linux. Windows doesn't want to make it easy for you to load other OSes, so it will overwrite the MBR. Linux will also overwrite the MBR, if you let it, and use Lilo or Grub to select your OS.
1) Set your computer to boot first from either the floppy drive or the CD drive, whichever the BIOS will permit.
2) Put your Windows install diskette into the floppy, or the Windows CD into the CD drive and reboot. Completely install Windows.
3) Put your Linux install diskette into the floppy, or the Linux CD into the CD drive and reboot. Completely install Linux. Where it asks you to install Lilo or Grub (I like Grub, but Lilo is good, to, if you prefer), make sure that it installs on the MBR and that it also recognizes Windows. Make your Linux emergency boot disk, and you are done
4) Set your computer to to boot first from the harddrive in the BIOS.
You are as good as new