The biggest hurdle is that you have to be sure to install windows first.
The reason is that windows will overwrite the boot loader and make it
impossible to start anything but windows.

Linux doesn't do that. Installation is done normally. Just be sure to
select the correct option in the partitioning section as you install Linux.
It will detect any other Operating Systems and ask if you want to install
side by side and be able to use both. If yes it politely creates a boot
menu which allows you to choose either one when you start your computer.

It doesn't master which drive you use for which. They will be called sda
and sdb. Choose to put the GRUB bootloader on which ever drive you boot
from.

Install Windows first, then install Ubuntu on the other drive.

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.

Just to add to the good information you've already had, Windows does
not take kindly to running from a slave drive so you'd be as well
disconnecting the slave temporarily to ensure it goes to the master
drive correctly. Once you have Windows installed you can re-connect
the slave and install Ubuntu to sdb but make sure the boot loader goes
onto sda ( i.e. the Windows drive ).

PS - in case you didn't already know. Ubuntu will see the Windows
drive but Windows will not see the Ubuntu drive so if needing to file
share between Windows and Ubuntu you'll need an intermediary such as
a USB drive ( flash drive will work ) or Network drive.

Sharing files from Windows to Ubuntu is easy. Just start Ubuntu, browse to
the file on Windows and copy or move it. Windows is transparent to Linux,
although finding things in the maze of "My Documents" isn't easy.

To share a file from Ubuntu to Windows you can either use a flash drive, as
correctly suggested before, or create a new partition that both Windows and
Linux can understand on either local hard drive. It would have to be either
FAT or NTFS. Then copy all the files in question to that partition and work
with them from either or both Operating Systems.