It's called multiboot
Common mistake though
Linux needs an ext3/ext2/reiserfs/nfs/jfs/afs partition to run from, and one swap partition is recommended. Swap should be ~2 times the amt. of ram you have.. if you have around 512, make it equal to it.
I'd recommend having a swap.. an ext3 mounted as / (You'll see what that means when you install mandrake) about.. 200Mb in size.
A large /home, and an even larger /usr partition (that's where your programs get installed). Also... a 100-200Mb /var partition is good too.
You can access almost any kind of partition from linux, well any common kind. The only limit is that you can't write on NTFS partitions. Well.. you can but it's experimental and might result in corruption so it's not recommended.
There already is a thread about installing Mandrake with Xp: