Find a decent partition manager, for windows if you want. Then resize your HD. For linux, you should have:
1- One ext3 partition for booting wich should be ~100Mb.
2- One swap partiton for the memory swapping ~twice the size of your RAM
3- One ext3 partition for the installation and personnal data. Put a least 2~3 Gb for this partition, if not more!
You could put more partition, but for begining those 3 are the minimum.
Now before installing, get a Boot Manager. You can find some wich arent free (the best one is
OSL2000) and others wich are open source (I'm using
Smart BootManager, there is also
Gag; Gag is easier to install). Install the one you want. I've already lost my Windows installation because Fedora installed a boot manager (Grub) on the partition and windows didn't liked it. With a 3th party bootmanager, you won't have problems.
Now that their is a boot manager, and you HD is partitioned, run the installation by booting the cd. Choose all the option you want. Their should be an option in the installation to "automaticly partition the harddrive". Choose the manual option. You will see your entire HD with different partitions on it. You now need to "mount" your partitions you just made to something linux will know of. So go like this:
mount partition #1 to "\boot"
You don't need to mount "swap", linux find it alone

mount partition #3 to "\"
When I say "partition #1 or #3" I'm refering to the ones you've created for linux on the begining of this post...
You should see those options of mounting in the advanced partitioning part of the installation. Just don't forget to do this, and not "delete all windows partition"...
A last thing, when you are asked to install the bootmanager, you will have the choice to install Grub or LILO. You can't say "don't install any!!!" but you can say to install one of the two on the first linux partition (the \boot one). So when you will boot your computer, the BIOS will check on the Master Boot Record (mbr) of your hard drive, will see the boot manager you installed earlier (maybe gag?

) Gag will now give you the choice to load whatever you want, windows or linux. If you boot linux, gag will give control to Grub/LILO wich is on the linux partition. You will have another choice of booting: linux or windows.
Thats it!

I know the "double boot managers" is a bit strange, but installing grub once scrapted my Windows partition... I had to reinstall

By setting grub to load after 1 second isnt a big deal. The difference between the boot managers I suggested to install and grub/LILO is that grub/lilo install themselves on a partition, while the ones I suggested are small enough to be installed on the MBR, wich is what we want if we don't want to corrupt the Windows partition

Windows is pretty sensible... poor windows...:P
Well I hope this is enough for the installation!!!

Good luck!!!!