1) Install Windows. Make sure that you leave sufficient free space on the hard drive for Linux.
2) Now install Linux. The exact method depends on which distro you choose, but as pljvaldez said, just put the CD in and reboot.
3) The installer will install a boot loader to the Master Boot Record. It should automatically detect that Windows is installed.
4) When you startup your computer, you should get a menu, where you can select between Windows and Linux.
I hope this helps
--Ian
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