First of all - back up your data. It's always easy to click on the wrong thing and destroy your XP installation or data partitions.
If you're only running with that one HD, see if XP has any tools to resize its partition; it may be more convenient to shrink the partition before you run the Linux installer (although most contemporary distros have tools to handle resizing NTFS partitions).
Make sure you have a "rescue CD"; many installation CDs allow you to use them as a rescue CD; you can also use a LiveCD.
Now the most important thing when you start up the installer is READ EVERYTHING - clicking mindlessly or skipping half of the text will get you in trouble for sure; this is how many people end up nuking their whole HD and replacing all the contents (instead of just 1 partition) with their shiny new Linux installation.
After installation, it should be safe to install the bootloader to the MBR; the installers are USUALLY (unfortunately not always) successful at adding WinDuhs to the boot options. So if you don't see a "boot WinDuhs" option, don't panic - unless you clicked and erased the whole HD, WinDuhs is still there and fairly easy to get running again.
If you're daring, don't install the bootloader to the MBR; install it on the Linux partition instead. With some tinkering after the install, you can get the XP ntldr to boot your Linux bootloader.
(Requires some instructions, plus a few commands are dangerous to run - make a mistake and your HD partitions are toast.)
Have fun - and take your time - if some instructions are not clear it is safer to stop installation and ask more questions; it is much easier to help in that situation than with the "how do I recover my XP data" sort of questions.