It's easy. I suppose you'd like to have both XP and Linux.
First, you need to make space for Linux. You can use commercial PartitionMagic or fips that comes with your RedHat (first installation cd, directory dosutils, if I remember correctly). Just leave it free space (not assigned to any partition).
Then boot from the cd and start installation. Just read what it writes and answer questions. Usually default answers are OK. The only thing in your case is that you can't install any Linux bootloader (like Lilo) in MBR. XP doesn't like it. Instead, install Lilo on main (/) Linux partiton and create a boot disk when asked if you'd like it.
After installation check if XP is OK (it will be...), then use your boot floppy and boot into Linux. Log in as root (and type password you've choosen during installation) and type (from console):
dd if=/dev/hda5 of=boot.lnx
where /dev/hda5 is the partition you have installed Lilo, change it with the right value in your system.
Now copy 'boot.lnx' file to Windows C: partiton.
Boot to Windows, edit 'boot.ini', add a line:
save the file and reboot. In your boot menu you should have Linux and it should boot when you choose it.
More detailed explanation can be found at www.tldp.org,