From within XP, create a new formatted partition using the Administrative Tools (Disk Management). Reboot with the 98/ME/2000 (in my opinion, avoid WinME) in, as long as it's a bootable CD, and then install it onto the newly-created partition. Once it's installed, you should then automatically get the choice of which OS you want to boot into when you switch the computer on...

Is the reason you need to run two OSs because some software won't run natively in XP, by the way? If so, have you tried the compatibility options built into XP?