With the caveat that I haven't personally tried this, you should be able to do it.
First, however, you'll need to have some unpartitioned disk space available to create a partition for the new OS.
If you don't have any unpartitioned disk space, then you'll have to either start from scratch, or invest in a partition resizing utility like Partition Magic.
Once you create some free space on your drive where a new partition can be created, then you simply launch XP setup like usual from your OS CD. When Setup asks you where you want to install Windows, create the new partition in the empty space you created, and install to that new partition.
Then, after Setup reboots for the final time, you'll have a Boot menu with both installs on your machine. One of them will live in C:\Windows, and the other will live in D:\windows or E:\windows or something similar, depending on your drive layout.
Under no circumstances do you want to try to install both OSes to the same partition!