This is a little more complicated than installing XP first, because the XP installer itself won't set up a dual-boot bootloader for you. The bootloader is the program which loads the operating system when you turn on your computer.
In fact, the Windows installer will install a Windows bootloader that can only boot up Windows, which means you have to install a dual-boot bootloader yourself after installing Windows.
You can find a howto at http://apcmag.com/how_to_dual_boot_l...lled_first.htm
The HOWTO assumes that you're using Ubuntu, but should work on any distribution that uses GRUB as a bootloader. Before you do anything, you can check for a directory named /etc/grub/; if you have that then you are using a GRUB bootloader and these instructions should work fine.
Hope that helps,
—Robert J Lee