Unless you would like a dedicated Linux box, you should (sorry, Tux) install WinXP first, then install Linux. I have only installed SuSE Linux distro's, and use their (great!) installer "YaST", which has always been an easy-going experience. I don't know which distribution you'll be installing, but I can't imagine an easier install than with "YaST". (Sorry for the sales pitch, but it's true.) When you install Linux, it will set up a Boot Manager (either GRUB or LILO) and when you boot up, you'll have your choice of which system to start. You can change the default system from within Linux. Windows won't see the Linux system files/partitions, but Linux sees all.
"Have a lot of fun!"