spx2 is right - the reason is that you ought to let Windows do its thing before you have Linux have the rest and best of the system. That way, you'll have a good boot loader (LILO, GRUB) in control in the end just because it gets installed with the Linux distribution of your choice, and you won't have to worry about Windows wanting to take over the whole drive and complaining about unreadable drives/partitions and such. What's more, most Linux setup scripts include ways to make room for Linux on a hard drive, so if you can leave most of the hassle to them anyway.
To sum it up: spx2's way's a good one, but you can even try a simpler one: Install Windowe, insert a Linux install disk, boot to the installer, do as you're told (or answer the questions right).
Last edited by MoonMind; 01-15-2006 at 04:17 PM.