Since they don't ship OS/software installation/repair discs any more (or very rarely) with computers that come with Windows preinstalled, you really should make the discs yourself before anything else. Sure the data is there on a separate partition (named RECOVERY for example), but in case the partition or disk is damaged or you simply accidentally erase it, it's of no use -- and in some cases booting the recovery setup becomes tricky if you for example install another OS. So make the recovery CDs/DVD before doing anything else; if you can't do it for some reason, then contact (call, email, fax, ...) the manufacturer's/seller's support and ask if they could send you the recovery disk set -- they do have them, but they might charge you something (so basically you pay for something you shouldn't). Not sure how it works out after your warranty becomes void (usually 1-2 years), but if you have a fairly recent machine, you'll get the discs. Before contacting them you should find out some sort of serial number of your machine, because they'll very likely ask it to make sure the machine is from them and that they send the correct set.
You can get the discs probably later too, when your disk is broken or you have accidentally deleted the content for example (this is when people usually get they don't have the recovery media), but it's a lot nicer to get the media beforehand and know that you have a "plan B" if things don't work out.
About the only thing you should watch out during the installation of another OS on the same machine is the partitioning step: just make sure it doesn't say it's going to format the whole disk or remove all partitions. Any other option should be safe (in terms of keeping Windows on board).
Last edited by b0uncer; 09-20-2008 at 10:36 AM.