Many ways to do this. Here is a simple no frills way to do it. Many variations of this even exist. This will get you started. I'm going to use the Mandrake distro for the ease of it. So you don't have to set a Linux partition or Linux swap partition.

1. Format you drive to FAT32 for W9X or NTFS for Win2K or XP using Partition Magic. After PM is set up. It makes a boot disk and a program disk on 1.44 floppy. So boot with first disk and then place second disk in and you'll get the gui for PM.

2. After you have formated the entire disk in your choice of FAT32 or NTFS depending on Windows OS you want. Resize the Windows partition you just made. So if you have a 40 GB drive, resize the Windows partition to say 30GB. Leaving 10GB for Linux. But don't format the empty (10GB) partition.

3. Apply the chnges then exit PM and reboot with the Windows CD in the drive if doing a cd install and you puter supports boot from cd. Or place Windows install (boot) disk in the floppy drive and reboot. Install Windows.

4. After Windows is fully installed. Use your Linux cd if your CD ROM is bootable. If not create a Linux install disk from the CD in Windows. Mandrake will walk you through this. With either the Linux/Mandrake cd in the drive or the Linux/Mandrake install disk in the floppy. Reboot.

5. Linux /Mandrake will walk you through the install and automaticaly set the Linux partitions during the install. It will install telling you what cd's to insert and remove. Then it will tell you to remove all media. It will reboot and LILO will take over and give you the option to boot into Windows or Mandrake at startup.

Hope this helps as it is one way among many to do it.