In addition to what is mentioned, you should know that Linux uses a
different drive notation from Windows file systems. There is no C: drive
or D: drive, instead they will be called sda and sdb. Install Windows first
to sda and Ubuntu second to sdb. The Linux bootloader (GRUB2) will write to
sda by default which is what you will likely want. When it reboots after
Ubuntu is installed you will get the bootloader listing both Ubuntu and
Windows Xp as boot choices with Ubuntu as the default. You can edit this
afterwards to make Windows the default if you want.

To make life easier in the long run consider (but not necessary)
partitioning the second drive to three partitions, a tiny one for swap
(equal to and not exceeding twice your RAM), one for root or / which can be
as 8 GBs or smaller (make it bigger if you do lots of multimedia) and one
for home which is where are your settings and files are stored (it should
be the remainder). This is optional and easy to do. It can be done
beforehand or from the installer or just go with the default. Pay close
attention to the installation choices because you do NOT want to install to
sda over top of Windows.

The advantage of partitioning as I outlined is that when you do
subsequent installations you can keep your home with its settings
and files intact and re-use it. It is more work up front, but less in the
long run.