I've recently installed Mandrake on an XP system with no problems. Linux seemed to be very flexible during the install and initial setup.
My "personal" partition is FAT 32 (I only use it for storage) and both OS's see it fine. And LILO practically set up my dual boot options by itself.
Everything worked out fine for me, but every user is different. I'd just be sure that I've double checked all the details and read everything twice during install to avoid clicking through.
Good Luck
If I can do it, I'm sure you can do it.