booting Vista, XP, and then installing Linux with grub
 

I will be booting Vista, XP, and then installing Linux with grub. So the Vista boot loader will be setup to boot both Windows, so then when I do install a Linux on the same hard drive, (all on separate partitions) what is the best method to boot up all 3 systems? Should I just allow grub to install on the master boot record, and then chainload XP and Vista. Or I could install grub on the boot sector of what will be my Kubuntu root partition, and then try to add this Linux to the Vista boot loader ?

Either way will work - if you decided on using the M$oft loader, go get EasyBCD (a freebie).

But to be able to chainload both XP and Vista with grub, it is needed to install a Linux last, or just re-install the grub if I install XP last.

XP can't be installed last - else it won't (automatically) include Vista in a dual-boot. M$oft aren't that flexible - the later O/S must be installed later so things get built correctly. Then you can install Linux - depending on the distro, you may get dual-boot built for you.
You will only need one chainload entry for the two windows systems - they are included in the boot entry Vista will create.