The best way is to install Windows first, then Linux. Mandrake provides pretty good tools for resizing Windows partitions, so you can create some room for Linux later. It will also install the boot loader on your MBR, so that you can choose between Linux or Windows when you turn your machine on.
Keep in mind that Linux support for NTFS is pretty new. I dual boot myself and I have about 3 partitions: /hda1 = Windows NTFS, /hda2 = FAT32 /hda3 = ReiserFS /hda4 = swap.
I do that so that both Linux and Windows can read/write to hda2 (windows D:\), so I store all my movies, games and general media in that partition. But that's totally up to you