This is because ms don't think you'd ever want anything apart from an NTFS filesystem, especially since most of their users don't even know what a filesystem is.
I assume your hard drive is completely blank and you're doing the whole thing from cds? If you have linux installed already then used cfdisk to create the partition and then install windows on it. Otherwise you could either:
1) Install a minimal linux system, use cfdisk and then install windows, and then install linux again
2) Or you could do what I do, which is:
Give windows an NTFS partition (maybe 3 gigs), and install it. Go and get some free or trial partitioning software for windows and create another partition (FAT32) for windows data (maybe 5 gigs). Get the latest tweakui and set the directories for your user dir, your my documents etc to be on the data partition.
Install linux on an ext3 partition (mine is about 6 gigs), with a swap partition (equal to the size of your RAM), a /usr partition (big - mine's about 10gigs, but I only have a 30gig primary hd), and a /home partition (depends what you want in your home dir - mine's about 5 gigs).
If you have music/videos then you can create FAT32 partitions in between the linux and windows partitions to store all of the data on.
Of course this is just my preference, but I would recommend the windows data partition, because that way you can access all of your windows data from linux, and windows itself sits on the NTFS partition, which is fine because you are very unlikely to want anything from that drive in linux anyway.