Sunrise is right and wrong.
In the past when Vista first came out, you were FORCED to wipe your hard drive install XP first, then install Vista. Alot of problems occured if you loaded Vista and tried to load xp second.
As of 2 months ago I have loaded Vista first, repartitioned the hard drive in Vista's disk management, and then loaded XP on the new blank partition on the hard drive.
The customer has said that it has been working flawlessly and has had no complaints.
Windows 7 will allow you to do this, but some people will swear you have to load XP first.
Another cool option that I have used alot is using a virtual machine such as VirtualBox. You can create a virtual machine that will run while Vista\Win 7 is running on the computer. That way you don't have to keep rebooting the computer to get to the other OS. It can be found here.