I had the exact thing going. I just had WinXP on its own partition as FAT32, another partition(large one) for mp3s and movies and such as FAT32. Then Fedora 4(what i was running) on its own partition. After you accomplish this you can set the GRUB bootloader to let you select between fedora or windows on the start up.
I'm not sure if those drives have to be FAT32, when i was running it Fedora4 did not have NTFS support so i had to use FAT32.
Also, have fun if this is your first install of linux. These sites will be useless as you need RPMs to be able to use certain files like MP3s.
rpm.pbone.net
freshrpms.net