it is a lot easier to install windows before you install linux.
But since you already have Linux installed, you have make sure you have a boot disk (or bootable CD) for linux, then you partition your hard drive to have a win32 Vfat (Fat32) partition for windows to be installed on. Install windows to that partition, windows will overwrite your master boot record on install, so you will need the boot disk to get back into linux. Once you boot off the linux boot disk and are in, you have to setup GRUB or LILO as your bootloader.
i am not really sure how to setup LILO or GRUB properly (i am having trouble trying to get it to boot Debian and Red Hat).
Wait!!.. if you are using KDE there might be a graphical LILO configuration tool somewhere in it (at least there is the tool in Red Hat with KDE 3, but maybe you didnt install it.)