I've grown tired of having to use extra programs for playing games on linux, so I want to install windows 2006 aswell... just for playing.
But to avoid problems how should I set up the partitions?

simple
say make a half of hdd for NTFS for windows
latter half for linux in ext3 format
these you make using partition magic
then you install first windows then linux.
thats all

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).