In a nutshell, it's called dual booting. If you have a 40 gig hard drive, you set up (for example) 2 partitions of 20 gigs each. On the first partition, you put windows, on the second partition, you put your slackware.

If you are doing a fresh install, you can use fdisk to create the first partition, then install windows. That should leave you with 1 unpartitioned drive. Then boot up linux, and install it on the second partition. (I'm not sure what slackware uses for a partitioning app). If it's anything like the other linux distros, it should have the option to set up a bootloader (grub or lilo) At least, this is how I did it...

I remember reading somewhere that windows has to be first..I don't know if that's true because I've never tried to do it any other way.

If you are not starting from a fresh install, you have to use an app like partition magic (commercial) or parted (linux) to resize your partitions. Use AO's search feature for "dual boot"...you should pull up a bunch of posts that will help..they will probably have some links with them also.