Yes, install WinXP first and leave enough unpartitioned space on the disk for Linux installation, then install FC3 in the free space.
Should I create all the partitions first and then to install?
No, let the installation program for each OS create the partitions for that OS.
And should I let linux install grub in MBR?? Does it work? With FC2 there were problems booting winxp after installing FC2 on a
separate disk.
(We had to reinstall the whole winxp)
The FC2 problem that you're referring to wasn't a grub issue, and it's been fixed in FC3 anyway. If you want to use grub as your main bootloader, install it in the MBR. If you want to use the Windows bootloader, install grub in the root/boot FC3 partition and add an entry to your Windows boot.ini file to chain-load grub from there.
Paul.