I'm about to do my first Linux installation. I've got XP and Mandrake 9.1 (I also have Partition Magic). Which OS should I install first and what file systems should I use? I presume I should use FAT32 for Windows XP and ext3 for Linux, but I'm not sure. And I don't entirely understand which OS should be on the MBR and why. Any suggestions would be appreciated.

XP first, if you have space, it's best to put XP on an NTFS partition and make a seperate FAT32 one for going linux -> fat32 -> XP. Ext3 for linux is good.
Let Mandrake install Lilo in the MBR.

Hi, JediDrunk. Do you play Jedi Knight 2, cos I do... lol.

Mandrake 9.1 was my first distro too. When XP asks you to create a partition, create one (preferably with NTFS, since I think Mandrake 9.1 can resize NTFS partitions if needed and NTFS is of course better than FAT32) leaving about 5 GB of hard disk space left (or 10 GB if you can). After installing XP and having it work fine, boot the computer with the Mandrake CD in the drive. Mandrake will at one point ask you where to install - choose "Use Free Space".

Good luck!