Hello and welcome to Linux Questions!
Well either option is good. Doing a dual boot system is not hard. If I could suggest IMHO that doing a usb hd install is not the greatest. From my experience an install works best when the drive is connected to an disk controller eg: ide,scsi etc...
If wanting to do a 1 drive dual boot. I would partition the drive within xp as you say you already have that installed, when I did that I used Partition Magic and built my *nix partitions from within that (ext3 is very common as a partition type for nix, reiserfs is also very good). Set aside enough space for an install(if you have room 10-20gigs should be more than enough to get you started although *nix can run on a very limited amount of space. When dealing with KDE and Gnome however and all the kick butt apps that *nix has, space can become an issue because you wanna try everything out!
Most distros now have really easy to follow installation instructions. Mandriva is really 'windows' like as far as the installation and feel goes, also VLOS is rather nice, I have been playing with that for the last 6 months or so and it is Gentoo based. So when you decide what distro you want to use and are installing. Just have it install *nix to the partition you set aside.
This is where I have never been 100% sure about, but I always have my boot manager(Lilo, Grub) install to the MBR of the first disk. So if you have one disk in your machine. Just have it install to the MBR of that disk.
They are alot of tuts and threads on here that relate to dual booting, etc: but thats my two pennies, and since it is Thanksgiving here in the US I got to go eat turkey but I hope I cleared up some issues for you. Just remeber, *nix being open source there is a ton of info out there so Google untill you can't Google anymore.
ps: I hope nothing I have said is wrong, but I am sure they will be someone else coming along to give there two pennies too.Good Luck!