Simplest answer, yes.
Since Windows isn't aware of linux partitions, while linux IS aware of windows. It is best to install windows first, and allow the Linux installer to resize the partitions to make space for Linux. Particularly if you aren't comfortable with resizing filesystems, and partitions.
Alternatively, you can resize the filesystem (assuming you selected a FS that allows for down-sizing)
resize the largest partition, creating space for windows XP
Install windows XP into the free space.
Then recreate the grub configuration, to recognise both the windows and linux partitions, and reinstall grub to take over from the windows boot loader.
Its probably simpler to backup you data, install windows, then install linux. IMHO
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