Install GRUB on that HDD from witch your are booting from, the one that is set as primary boot device in your BIOS. But you can also install GRUB on the second HDD, where is also your Fedora and change in boot order in BIOS.
I would first unplugg the windows drive and let fedora install without knowing about another HDD and windows. Only after that add windows to the grub menu.
Please read
this workaround to make your windows boot, because there is a bug in FC2.
Boby