this is my experience and I can ensure you that Linux and windows can work together in a same PC, without harming each other.
For the better way do following->
1- Install Windows( say XP) first on your PC.
2-Make the partitions of your HDD with the file system FAT or NTFS( whatever u like) and leave some space free on your hard disk without any file system( this partition will not be logical and hence not the part of your XP).
you can do it by
control panel--> administrators tool->computer management->storage->disk management
in your windows. (select any partition in which you want to install linux and make it free space).
3-then dear, smoothly insert the CD of linux into yours CD ROM and linux will automatically detect the free space( In case it doesn't do this, it will ask for the free space so you should select the option free space.....).
within half an hour u will enjoy both the os.
But your boot menu will be in linux environment now. if you want to delete the linux from your pc go in the drive( which is free space in windows, by above described path) and format the drive.
I have done this with
Red Hat Linux, Fedora Linux. and Mendrake too.
mendrake can be easily mounted with the windows( u can listen the songs of SHAKIRA stord in windows drive in mendrake without switching the os)