grub doesn't use drive names such as hda, hdb, etc. grub uses hd0, hd1, etc, where hd0=hda, hd1=hdb, etc. If you simply tell grub to install the first part to hd0, then it will overwrite the MBR, and windows will not be bootable without a boot disk until you edit /etc/grub.conf (if that's what your distro uses), or edit /boot/grub/menu.lst (if that's what your distro uses) to add windows to the menu.
If you install grub to (hd0,1) or whatever the linux partition is, then all of grub will be installed in the linux partition, and you won't be able to boot linux without a boot disk, or loadlin in the windows partition.
For more info on the ins and outs of grub, google up a copy of 'Zen and the Art of Using Grub'.
For more info on how to setup loadlin in the windows partition, use google to search for the loadlin HOWTO that explains how to do it.