I just did this a week ago
. The only difference from what you're trying to do is that I'm still using XP's boot loader. Here's a recent HOWTO:
...based on the same ideas in the old NT dual-boot HOWTO, from '97:
Usually I install windows first, and create two partitions on the HD - one at 5-10Gb NTFS for windows, one at ~1Gb fat32 for a shared drive. I leave the rest of the space unpartitioned. Then I go through the complete windows install as normal. Then when I do the linux install (RH 9, last week), I have it partition the remaining HD space for itself (I usually muck about with their suggested layout a little, but that's neither here nor there). I also have it mount that ~1Gb share drive under something nonsensical like "/share". For the boot loader, I choose grub but have it install on the boot partition rather than the MBR.
The HOWTOs above give the details about how to use dd to make an image of your boot loader and copy it over to XP (here's where that "/share" mount comes in handy, rather than having to use a floppy), and edit XP's boot.ini file accordingly (while you're in there, I suggest setting the timeout to something more reasonable than 30 seconds, like maybe 5; also, you can change the default OS if you like). Also, the HOWTOs mention needing a linux boot floppy for the first boot, but using the install cd and booting as "linux rescue" works fine.
The only slightly odd result of this method is that you first get the command-line OS boot options from XP's boot loader, and when you choose linux you then get grub's OS boot options (if you let it keep it as an option in the install). On the plus side, if you set XP's default to boot into linux and set the timeout low, this would give you a second chance to catch it and boot into XP after all, if that's what you meant to do. See? It's a feature, not a bug
Anyway, this is generally how I've done it several times in the past, with general success on both laptops and desktops. I've never tried putting grub on the MBR because I know this way works and I've never wanted to spend the time installing two OSes twice if it didn't work out