you can install linux or windows on your disk of choice... they are both valid...
of course you will need to set the jumpers correctly first... check the info on the hard drive itself, they usually have diagrams explaining... or check the manufacturer's website... the "master" goes on the middle connector of the ide cable.. the "slave" will be the one on the end...
lilo and grub are both excellent... personally i prefer lilo...
you should probably install windows first and then linux and the bootloader but technically you can do it in any order you wish... you can even re-install the bootloader later in case a windows install replaces it with a windows boot sector... i don't think win2k does that, but i think winxp does, for example... it all depends...
during a typical linux install, you'll get to choose which bootloader you want, and where to put it... usually people like to install it on the master boot record of the primary master disk, but you have choices...
you'll usually also get to set which operating system gets booted by default (after a few seconds of no keyboard activity), and some other cool stuff... you can change all the settings (and many more) later by editing the "conf" files for your loader, or using a gui wizard or something on your desktop environment... (usually the configuration you set during the distro install should be enough)
the most basic function the boot loader gives you is the ability to select at startup which os you want to boot... of course the os doesn't necessarilly have to be on a hard drive in your computer, it could be accross a network in a foreign country, but that's another story...
good luck!
http://www.gnu.org/software/grub/
http://www.tldp.org/HOWTO/mini/LILO.html
