Don't worry about it. If you screw up Grub bad, you can always boot up your Windows XP CD and recover your Windows XP Master Boot Record by getting to a command prompt and typing 'fdisk /mbr'. The mbr part tells XP to re-write the Master Boot Record and you are good to go just like you never installed Linux in the first place.
So its not like you are dead in the water if you screw something up. Just don't erase your Windows partition while partitioning your Linux drives.
TO be on the safe side, just back up your critical files. You will find out that all your tax information and all your banking and all your save game files from various games will all fit onto a single CD-ROM (Or at worst, a single DVD5). So if you did screw up and accidently paritioned your WIndows Partition, or screwed up with the mke2fs (assuming you are going to be using EXT2 and EXT3 based paritions) or the mkswap command, you can reload Windows and have all your stuff just like it was.
XP has another program that can also write an MBR - diskpart. diskpart is a bigger pain to use, but its an alternative.
Let me know if you need help.
-S
__________________
 
|