This is what I have done, and it is what I recommend you do.
You have two HDD's. I am assuming the following.
1st HDD is the XP Partition.
2nd HDD is going to be the Linux Partition (All data will be wiped!!)
Here is the process to install a dual-boot linux machine without surrendering your MBR to Linux.
Boot your ISO CD. After it has started, before you can run the install (depending on the distro) you have to run cfdisk to format the drives.
Because you are formatting a disk other than /dev/hda, you must specifiy which one to cfdisk.
Now, create your swap, and system partitions here. Be sure to Write when you are done.
After this, run your install, and specify any options you may need (swap, etc. If you don't know what any of this is, ask!) as well as that your root partition is /dev/hdb*.
After the install, you will be prompted to choose a bootloader, and where to install it. Choose lilo, and choose to install it to the SuperBlock (this is the first sector of your root drive, in your case, /dev/hdb*). After the install is complete, do the following BEFORE YOU REBOOT. (Where * is the # of your boot partition)
1) insert a floppy (#1) in your floppy drive.
2) run the following command: fdformat /dev/fd0
3) dd if=/dev/hdb* bs=512 count=1 of=/dev/fd0
4) cd /
5) dd if=/dev/hdb* bs=512 count=1 of=bootsect.lin
Leave your floppy (#1) in your drive, and reboot. This should boot you into your new OS!!! Now, for the dual boot.
1) insert a DIFFERENT floppy (#2) into your floppy drive.
2) run the following command: fdformat -fat /dev/fd0
3) then: cp /bootsect.lin /dev/fd0
Remove this floppy (#2), and reboot into XP. Now, one final thing. When XP is loaded, and you are on the desktop, do the following:
1) insert floppy #2.
2) right click on my computer, and choose "Properties"
3) click "Advanced"
4) click the "Startup and Recovery" button.
5) Check "Display a list of Operating Systems" and set your timeout.
6) Click "Edit"
7) This is your boot.ini file. It will look something like this:
multi(0)disk(0)rdisk(0)partition(2)\WINNT="Microsoft Windows XP Professional" /fastdetect
8) add the following lines to the END of your boot.ini file:
9) Copy bootsect.lin off of the floppy (#2) to C:\
10) Remove the floppy, and reboot.
You should be able to choose Linux, and it will boot your Linux partition!
Just be careful, as if you change your lilo.conf, you will have to recreate and recopy this file.
Hope this helps.