I have 2 HD SCSI, the first one I have installed Windows XP,
on the second HD I installed Gentoo Linux.

In my first HD where Windows stand, I got 3 partition, the first one is a little partition of 32mb FAT16 intentionally done for permit dual-boot, and the other 2 partition are in NTFS
The second HD with linux inside has 3 partion, the first one is a boot partition, the second is the swap partition and the third one is the root partition, like the gentoo installation instruction suggested to do.

The lilo splash appears with the 2 choose (Windows, Linux),
Windows starts fine, but when I choose linux it hangs and it doesn't load.

Anyone got a clue for this?

It depends on how you are booting, but you should see some kind of error message. Is your kernel built correctly and /etc/fstab correct? You should boot to command line to begin with, btw, so disable gdm, kdm or xdm and/or framebuffer and bootsplash if you are using it.

Installing a bootloader

LILO fails: Error messages and their interpretation
LILO mini HOWTO
Multiboot with LILO HOWTO
LILO, Linux Crash Rescue HOW-TO