You will need to repair your GRUB or whatever boot manager you
are using if you install Linux first, then Windows.
Don't ask me why, I would like to know why MS keeps spoiling
things.
Restore GRUB after installing Windows
If you have nothing on Linux, you can wipe out Linux, install
Windows, followed by Linux.
1. Put in Windows CD and boot up to it
2. Delete all partitions
3. Create at least 3 partitions (1 for Windows, 2 for Linux).
Format the first one in NTFS or FAT32. I recommend NTFS as it's
more stable. If you crash a FAT32 system too often, you will end up
having to keep on formatting and install Windows.
4. Install Windows on the first partition
5. Boot up to Ubuntu CD
6. Choose Advanced partitioning
7. Format the rest of the partitions (excluding the NTFS
partition, which is your Windows partition).
8. Set the main Linux partition drive size. Make sure you leave
enough for Swap.
9. Set the Swap partition to use about twice of your computer.
For example, you have 1GB of RAM. Set the Swap partition to 2GB.
You can set more, no problems with it.
10. Select the main Linux partition, set it to install at /
(yes, it's just a forward slash). Format it with either ext2 or
ext3 and install Linux on it