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You can, but it is probably far easier to install windows first, because as far as I can recall, Windows will overwrite your linux boot loader and not give you the option of booting into your Linux distribution. After installing Windows, you would have to boot into your linux with a boot disk or LiveCD and re-install the boot loader.
Option one: Install Windows --> Resize Partition with GParted LiveCD (Or similar) --> Install Linux --> Done!
Option two: Install Linux (Reserving space for Windows --> Install Windows --> Boot Linux with Boot disk --> Re-install Linux Boot loader --> Done!
So you save a rather irritating step by installing Windows first.
Historically, Windows has also been pretty unfriendly about being loaded anyplace but at the front of the hard drive also. I do not know if Vista changes this, but you may not succeed if you load Windows on back of the drive.
In the past, when I have needed to do that, I have made a small partition in the front of the drive to put the Windows boot stuff onto, then put the rest of the installation where I needed it.
It is just a whole lot simpler and less fraught with minefields to install Windows first.
Yes, you're correct, mokku. To avoid lots of potential problems, install Windows first. But, as was also mentioned, make sure you install Windows on the first partition of the drive. Once I installed it on the second partition and it installed fine, and GNU/Linux worked fine, but when I'd pick Windows from my grub menu, it'd get a blinking cursor on the top left of the screen and I couldn't figure out why. Just install Windows on the first partition to avoid this.