You can install Linux to a dos partition. With Red Hat its done from inside the installer. Slackware also has a version for installing to fat partitions (more specifically Zip disks).
Its called a partitionless installation and basically creates a file on your fat or fat32 partition which is the whole redhat installation
Try the following URL for info;
http://www.redhat.com/docs/manuals/l...tallation.html
You could also investigate VMware which will boot linux from inside a
running windows session. You can run both OSes at the same time. Does cost money though (not sure how much).