I'm using win98 and and Red Hat 7.2. Though I haven't tried installing XP, here's what I do for 98/Red Hat dual boot.

1. Make one or more partitions for windows by fdisk. (don't forget to leave a room for Linux)
2. Install Windows for the partition u made.
3. Set the first bootable device to CD-ROM via BIOS and insert Red Hat CD.
4. Make partitions for Linux (swap, /, /boot, /home, or etc).
5. Set path of the windows partition to "/mnt/win..." in order to access windows' partition
from the Linux.
6. Install GRUB for MBR.
7. Install Linux

I hope it's gonna be some help.