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dual booting is simple. First, like the others said, install windows first. Also, make sure you go through the Lilo setup. BUT, make sure to use the expert to ensure that it gets things right (expert is still very simple).
Then, make you sure you add both the windows and linux installs. Then, finalize with "install lilo," finish the install, and reboot. Hopefully the lilo screen will now show up. If not, boot from CD1, and fix your lilo configuration. Piece of cake.
some notes i'd like to add for safety, make sure you add lilo to the root directory not the mbr!. and set the windows partition to not bootable, so your winxp won't try to boot over linux (prob with some systems, other not a prob)
It was pretty much install windows first, install linux, put lilo on the hd, not the mbr, then use dd to dump the first 512 bytes of the drive lilo was isntalled on, move it over to windows and modify the boot.ini.
I read it in the Linux in a Nutshell book from Oreilly too.