I have a dual boot setup with Windows XP on a separate hard disk. The problem with windows is that it requires that the drive it is on is the master. Mine is the slave with the Linux drive set as master.
It's not hard to fool windows though.

In your /boot/grub/grub.conf file you need to add something like this:

title Windoze XP
map (hd0) (hd1)
map (hd1) (hd0)
rootnoverify (hd1,0)
makeactive
chainloader +1
boot

hd0 is the primary master, hd1 is the primary slave
(hd1,0) is the first partition on the primary slave (windows)

I'm not 100% sure of the drive labelling system, but I guess that your secondary master would be hd2 and secondary slave, hd3. Not sure what they're called for serial ATA. I found the above somewhere on the internet... not sure where though.

You may need to change the jumpers on your drives, particularly if windows was previously the main boot drive. The grub will be installed on the Linux drive, so it has to be the Master. Change the win drive to Slave.

going the other way... booting to the windows drive etc, then loading a boot menu... I'm not sure how you'd do it.