I have XP + SuSE + Mandrake
Installed XP first (XP installed its own bootloader).
Then installed SuSE with LILO (LILO is installed at MBR).
Then installed Mandrake with LILO (MBR is not affected and LILO is installed at root partition)
Booted in SuSE, mounted the root partition of Mandrake. Opened /etc/lilo.conf and /mdk/etc/lilo.conf, copied default section of Mandrake lilo.conf to SuSE's lilo.conf with modified paths (depending on mount point). Run lilo at shell.
I am having working XP + SuSE + Mandrake =
TIP: If you want, i can also provide my lilo.conf