The easyest way is to have a fat32 partition on your harddisk somewhere. Both Linux and windows can read/write to that no problem.
If you want a propper win/lin multiboot setup on just one disk, I reccomend the following partitions setup:
Primary(EXT3 Linux root)
Logical(Fat32 transfer and storage)
If you use Win98 or WinME, just google for 'Linux mounting fat32 partition' to find out how to acsess your Windows partition with Linux.
Now I assume you have Win2000 or XP (they use NTFS) and I assume you dont want to wipe and redo your harddisk right away, then there is also an option to read and write to your windows NTFS partition with Linux. Just google for 'Linux mounting NTFS partition' and you should be allright. However;
MOUNTING NTFS AS READ/WRITE UNDER LINUX IS NOT 100% SAVE! USE AT OWN RISK.