Think you will find that XP is a special case.
Sorry, can't speak authoritatively about XP, since I don't have it.
In general the process is: 1) install Windows 2) install Linux.
What GRUB does is write over your Master Boot Record (MBR) and then allow you to chain boot to XP. (As expected Windows isn't as forgiving) But again, there may be a gotcha in chain booting to XP.
I saw on this site
http://forums.devshed.com/t58000/s.html
"I got it working. It turns out that there was another boot option in GRUB that was called DOS. At first I discarded this option because I didn't want DOS I wanted WinXP but I decided to try it and low and behold it booted Windows. Thanks for all the suggestions I was able to use them and help someone else with a similar problem."