The clean way to do this is to first install Vista to the first partition---or to a completely clean disk. Regardless, give Vista maybe 15-20GB, and leave the rest of the space empty. When you install Linux, you will create a new partition in the empty space. The typical installer will automatically detect Windows and set up the GRUB configuration.
I don't know what happens in your case if you simply remove the XP partition---the Windows MBR boot code transfers control to NTLDR, but I don't recall if thats in the first 63 sectors of the drive, or in the partition. There are probably some simple ways to test this.
Don't forget to backup your data before trying any of this.