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if you have 40 GB Hard disk then, partition it into two (10GB each) or a partition (20GB) for Windows XP. Rest of the space keep unpartitioned. After install Windows XP and required software then you have to install Linux. If you have no idea for HardDisk partition so, please go through LinuxQuestions.org
you can use a virtual machine, this is a very easy way to install many operating systems. search "sun virtual box" in google and get the application. Tell me if you need any help from me.
The latest versions of virtual box work pretty well. The other option you have is to use WUBI, which allows you to install Ubuntu under windows and lets you reboot into Ubuntu, if that makes sense. You get a Ubuntu option in your boot menu.