Let's suppose you are trying to create a dual boot system with Windows and Linux.
Let's also suppose you are making clean installs for both OS.
In such occasion i usually do this:
1) I boot from the Windows CD and through the installer i create your Windows partition.
Make sure you leave some unallocated space on your disk for the linux.
2) Install your windows OS normally.
3) After having installed windows insert your linux CD.
4) Through the linux installer choose the unallocated partition of the disk as your root partition.
Make sure not to choose the windows partition for obvious reasons.
5) When the linux installer asks where to install the Bootloader, select the "sda" as the destination.
This way the Grub bootloader will be installed in the MBR of your hard disk.
Grub will also detect any windows installations and will create a nice menu from which you can choose the OS you want to boot your system.
6) Proceed in your linux installation.
