windows must be installed first!!!!!
after that it doesn;t matter what happens after that.
make sure that lilo gets installed onto the MBR (there should be a little option to do this when you install it in the installation process)
swap must have its own partition, there should be a linux 'native' partion and i suggest a 'home' partition as well. these you should be able to choose in the installer.
the linux boot bit (in the first 1024 cyclinders) will be handled automatically when you install lilo so just install it like this
First HD: Windows
Second HD: Linux native/ linux home/ linux swap (double your RAM, but not more than about 128 i think, after that it starts to make negligible difference ive heard)
the boot sector for linux will be done automatically for you