Shouldn't be any problems apart from a few things to watch out for:
Try to keep the linux file system as a NT based file system. Typically this means as NTFS. This will allow you to share files, etc across the drives.
LILO will install as your boot manager by default. This has some implications when you want to remove Linux. Some workarounds and good leads can be found on the thread I started earlier
HERE .
Make sure you have hardware that is supported. Most stuff do have specific drivers already included with the install of Linux, but win/soft-modems are still pretty well not supported under Linux.
Otherwise, have fun.
***Edit***
As always, make sure you have a current backup before preceeding with installing another OS. No need to make it harder for yourself should things go kaboom.