Yes, you can install Linux on a different hard drive as well. I believe what would happen if you installed Linux on a secondary hard drive, is that it would continue to boot into Windows, as your BIOS will still be set to boot from the primary hard drive first. In which case, you should be able to edit your boot.ini file if you run Windows NT or 2000. If you run 9x, I believe the file is win.ini, but I'm not sure about that.
Or just make lilo rewrite the bootrecord of the primary (windows)partition...

that works for me...
Win =hda1
Lin =hdb1