Install Windows first. Then Linux, but like I said - manually specifying the partitions. That way Windows install doesn't have any opportunity to stomp on Linux.
(That said, I'm pretty sure you can make Windows Install play nice with the partitioning alongside an existing install of Linux. The kicker is that it's MBR menu doesn't easily support other OSes, so you'd have to reboot to a Linux installer just to setup GRUB properly. So you may as well install Linux second.)
Wade.