Linux and windows install

[Francois]

Hello,
I 've a brand new computer, with in it, two hard disks (one is 40 gig and 
the second one is 80 gigas) (ide)
I need to install Windows and Linux.
I plan to install Windows on the 40 gigas disk, and Linux on the 80 gigas.
I would like to be able to start Linux or Windows using Grub.
Questions :
- What do I have to install first ? Windows XP or Linux FC3 ?
- Do I have to disconnect (unplug) one HD to be able to install the OS where 
I want ?
- Is it possible to install Windows on the second HD ?
- When I have to install Grub, what do I have to choose ? the MBR or the 
first sector of the startup partition ?
This is a little bit confusing to me.
Thanks. Francois