I would suggest you first install windows. Then leave some unallocated space for linux. Then boot with your linux installation disk and follow the instructions. The linux installation disk will guide you through creating a partition for linux. As n0cmonkey specified linux doesn't use FAT32, or NTFS for it's filesystem, in linux you have a variety of filesystems to choose from. Some of the most popular ones are the journaling filesystems, that keep record of all the transactions (read/ write ) that take in place so in case the system crashes it is very easy to make sure that all the transactions are done. Ext2 is very popular, but it doesn't allow for journaling, then ext3 is pretty much ext2 but with journaling and more features. Xfs, jfs, and reiserfs, are very good and popular filesystems that provide for journaling.
By the time that you become very accostumed to linux, you will be able to do a lot of things with it. My best advice to using linux is to be curious, RTFM a lot, ask questions after doing some research on the topic. Some good links are:
www.google.com/linux
www.tldp.org
your local Linux User Group or "LUG"
Good luck,
pitupepito