The classic way to dual-boot install on a single disk is to install Windows first, and use the installer to do the partitioning.
Then, install your flavor of Linux on the second partition, which you may split up further, and install the Linux bootloader, Grub, Grub2, or Lilo, which will handle booting tasks for both systems.
If you have a second disk, install them in any order you like, as long as your final step is to install the Linux bootloader to the primary hard disk.
The Wubi method is very easy, but has it's drawbacks
, and is only designed for Ubuntu.BEeN GRUBed
can install most any other Linux.