Install Windows first. When installing Linux, you'll get to an option where it'll ask you how you want the drive to be configured for installing Linux. The options you'll get are:
- Remove Windows
- Use free space
- Custom partitioning
Select Custom Partitioning, then click on your Windows partition (should be a big blue bar) and hit the resize button. Move the slider to the left until you've given a few gigabytes over to free space (be sure to know how much space you have on your Windows drive first, as you wouldn't want to overwrite anything). Click Done, and in the drive partition window you should see some blank space after your Windows partition. Click the blank space then the auto-assign button to set up your Linux partitions and swap space, then continue with the installation. When the system reboots the Lilo boot loader will be shown. They'll be some Linux options, a floppy selection and one for Windows.