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Grub. You don't need to rerun grub of alter you MBR after you'sve recompiled your kernel. Also, if it all goes wrong and you can't boot into the kernel you want you can edit the boot command from the grub prompt to boot with different options or boot a different kernel
Eh? If you install either GRUB or LILO to your MBR, it will overwrite Windows' bootloader..
And visa versa.
You can install grub if you want but any patch that requires it will tell you in the post-install that you'll need to rerun the lilo config and will usually give you the command necessary to do it. If you already have lilo I'd just keep it.
Have a browse through info grub. You will see that grub is a considerably more sophisticated boot-loader, especially when "things go wrong." When grub (alone) is up-and-running, you have quite a complete command-environment at your disposal at that point...
This bootloader also has a lot of options that make it very easy to start up Windows-XP and other operating-systems. It's designed to be a very general purpose solution.